Julieta Frank

University of Manitoba | UMN · Department of Agribusiness and Agricultural Economics

A binary option is a type of option where the payout is either fixed after the underlying stock exceeds the predetermined threshold (or strike price) or is nothing at all. Traditional option pricing models determine the option’s expected return without taking into account the uncertainty associated with the underlying asset price at maturity. Fuzzy...

Estimating functions have been shown to be convenient to study inference for nonlinear time series models. One such model is the recently proposed Random Coefficient Autoregressive (RCA) model with Generalized Autoregressive Heteroscedasticity (GARCH) errors (Thavaneswaran et al., 2009). We derive the martingale estimating functions for the joint e...

Estimating the cost of liquidity in agricultural futures markets is challenging because bid-ask spreads are usually not observed. Based on an ability to reflect simulated data from Roll’s spread model, we assess the effectiveness of conventional and Bayesian bid-ask spread estimators under different market conditions. Conventional serial covariance...

Much research has found seasonal behaviour in the volatility of financial and commodity data. Most of it has used GARCH models with dummy variables in the volatility equation to account for specific events. A few studies have extended these models to more flexible seasonal forms such as the periodic GARCH. Here, we introduce the multiplicative seas...

Using literature-based measures and a modified Bayesian method specified here, we estimate liquidity costs and their determinants for the live cattle and hog futures markets. Volume and volatility are simultaneously determined and significantly related to the bid-ask spread. Daily volume is negatively related to the spread while volatility and aver...

Highly fluctuating agricultural prices have rekindled questions regarding the influence of volatile oil and exchange rates markets on dynamic behavior. Using weekly cash data from 1998 to 2009 and VAR and VECM procedures, we estimate the linkages among several agricultural grain and livestock commodities, oil, and exchange rates. We identify a stru...

Colombia negotiated bilateral Trade Agreements (TAs) with the United States and with the MERCOSUR region (Argentina, Brazil, Paraguay, and Uruguay). Colombian cattle and beef interest groups argue that TAs hurt the local beef supply chain. We employ a partial equilibrium framework to assess the impact of these TAs on the welfare of cattle producers...

In 1997 the Chicago Mercantile Exchange replaced its live hog futures contract with a cash-settlement mechanism based on a Lean Hog Index. Producers and packers are concerned convergence between cash and futures prices is not occurring and that basis volatility has increased in recent years. Our results indicate that basis has widened and its varia...

We reassess the effect of new information in the Hogs and Pigs Reports (HPR) focusing on announcements’ rationality and alternative surprises. HPR announcements are irrational estimates of final estimates, and market expectations are irrational estimates of HPR numbers. Using the market’s best forecast and incorporating final estimates, we modi...

We reassess the effect of new information in the Hogs and Pigs Reports ( HPR ) focusing on announcements' rationality and alternative surprises. HPR announcements are irrational estimates of final estimates, and market expectations are irrational estimates of HPR numbers. Using the market's best forecast and incorporating final estimates, we modify...

Liquidity costs in futures markets are not observed directly because bids and offers occur in an open outcry pit and are not recorded. Traditional estimation of these costs has focused on bidask spreads using transaction prices. However, the bid-ask spread only captures the tightness of the market price. As the volume increases measures of market d...

Estimation of liquidity costs in futures markets is challenging because bid-ask spreads are usually not observed. Several estimators of liquidity costs exist that use transaction data, but there is little agreement on their relative accuracy and usefulness, and their performance has been questioned. We use a Bayesian method proposed by Hasbrouck wh...

Research has provided mixed results regarding the presence of a time-varying risk premium in agricultural futures markets. In this article we test for the presence of a time-varying risk premium focusing on the properties of the underlying data. Our results show that accounting for the structural break in the 1970s plays a key role in the findings....

Thesis (M.S.)--Cornell University, August, 2002. Includes bibliographical references.

We studied changes in dormancy (as imposed by the different structures surrounding the embryo, namely, endosperm, pericarp and glumellae) and its relationship with changes in embryonic ABA levels and sensitivity, in developing grains of two commercial barley cultivars: B 1215 and Quilmes Palomar, which have, respectively, a low and high dormancy le...

We studied changes in dormancy (as imposed by the different structures surrounding the embryo, namely, endosperm, pericarp and glumellae) and its relationship with changes in embryonic ABA levels and sensitivity, in developing grains of two commercial barley cultivars: B 1215 and Quilmes Palomar, which have, respectively, a low and high dormancy le...