Statistical time series analysis on basis and volume of forward contracted cattle in the United States
Posted on:2011-02-02
Degree:M.S
Type:Thesis
University:South Dakota State University
Candidate:Abahana, Zelalem
Full Text:PDF
GTID:2440390002965756
Subject:Business Administration
Abstract/Summary:
The purpose of this study is to build monthly forecasting models for basis and volume of forward contracted cattle in the United States. It further assesses causalities among each other and weeks-to-expiration. Two approaches of model estimation were followed: vector autoregressive models for months with significant causalities and autoregressive models for months with insignificant causalities.