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Market Uncertainty and Sentiment around USDA Announcements. (2020). Robe, Michel A ; An, Nguyen Que.
In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri.
RePEc:ags:aaea20:304497.

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  1. Characterizing implied volatility functions from agricultural options markets. (2022). Adjemian, Michael K ; Thomsen, Michael R ; McKenzie, Andrew M.
    In: American Journal of Agricultural Economics.
    RePEc:wly:ajagec:v:104:y:2022:i:5:p:1605-1624.

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References

References cited by this document

  1. Adjemian, M. K. (2012). Quantifying the WASDE Announcement Effect. American Journal of Agricultural Economics, 94(1), 238–256. https://doi.org/10.1093/ajae/aar131 Adjemian, M. K., Bruno, V. G. and Robe, M. A. (2019). Incorporating Uncertainty Into USDA Commodity Price Forecasts. Advance online publication. https://doi.org/10.2139/ssrn.3414585 Adjemian, M. K., Bruno, V. G. and Robe, M. A. (2020). Incorporating Uncertainty into USDA Commodity Price Forecasts. American Journal of Agricultural Economics, 102(2), 696–712. https://doi.org/10.1002/ajae.12075 Adjemian, M. K., Bruno, V. G., Robe, M. A. and Wallen, J. (2016). What Drives Volatility Expectations in Grain Markets? Adjemian, M. K. and Irwin, S. H. (2018). usda Announcement Effects in Real-time. American Journal of Agricultural Economics, 100(4), 1151–1171.

  2. Haynes, R. and Roberts, J. S. (2015). Automated trading in futures markets. CFTC White Paper.
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  3. Hochberg, Y. and Tamhane, A. C. (1987). Multiple comparison procedures: John Wiley & Sons, Inc.
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  4. Isengildina-Massa, O., Irwin, S. H., Good, D. L. and Gomez, J. K. (2008). Impact of WASDE reports on implied volatility in corn and soybean markets. Agribusiness, 24(4), 473–490. https://doi.org/10.1002/agr.20174 Isengildina-Massa, O., Karali, B., Irwin, S. H., Cao, X., Adjemian, M. [M.] and Johansson, R. [R.] (2016). The market impact of USDA crop and livestock reports in the big data era.

  5. Janzen, J. P. and Adjemian, M. K. (2017). Estimating the Location of World Wheat Price Discovery. American Journal of Agricultural Economics, 99(5), 1188–1207. https://doi.org/10.1093/ajae/aax046 Janzen, J. P. and Bunek, G. (2017). Does Public Information Facilitate Price Consensus? Characterizing the Effect of USDA Crop Reports Using Realized Volatility.

  6. Johnson, T. C. (2004). Forecast Dispersion and the Cross Section of Expected Returns. The Journal of Finance, 59(5), 1957–1978. https://doi.org/10.1111/j.1540-6261.2004.00688.x Karali, B., Irwin, S. H. and Isengildina‐Massa, O. (2019). Supply Fundamentals and Grain Futures Price Movements. American Journal of Agricultural Economics, 44(3), 362. https://doi.org/10.1002/ajae.12012 Karali, B., Isengildina-Massa, O., Irwin, S. H., Adjemian, M. K. and Johansson, R. [Robert] (2019). Are USDA reports still news to changing crop markets? Food Policy.

  7. Stoline, M. R. (1981). The status of multiple comparisons: simultaneous estimation of all pairwise comparisons in one-way ANOVA designs. The American Statistician, 35(3), 134–141.
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  8. Ying, J., Chen, Y. and Dorfman, J. H. (2019). Flexible Tests for USDA Report Announcement Effects in Futures Markets. American Journal of Agricultural Economics, 94(1), 238. https://doi.org/10.1093/ajae/aaz013 Yu, W. W., Lui, E. C.K. and Wang, J. W. (2010). The predictive power of the implied volatility of options traded OTC and on exchanges. Journal of Banking & Finance, 34(1), 1–11. https://doi.org/10.1016/j.jbankfin.2009.06.017

Cocites

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  2. Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility. (2024). Janzen, Joseph P ; Bunek, Gabriel D.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851324000011.

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  3. Empirical probabilistic forecasting: An approach solely based on deterministic explanatory variables for the selection of past forecast errors. (2024). Goldschmidt, Ronaldo R ; Silva, Eugenio ; Romanus, Eduardo E.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:40:y:2024:i:1:p:184-201.

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  4. The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases. (2023). Lopez, Raquel ; Fernandezperez, Adrian.
    In: Journal of Futures Markets.
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  5. Information rigidities in USDA crop production forecasts. (2023). Goyal, Raghav ; Adjemian, Michael K.
    In: American Journal of Agricultural Economics.
    RePEc:wly:ajagec:v:105:y:2023:i:5:p:1405-1425.

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  6. Forecasting the U.S. season-average farm price of corn: Derivation of an alternative futures-based forecasting model. (2023). Hoffman, Linwood ; Adam, Brian ; Farhangdoost, Sara ; Etienne, Xiaoli L.
    In: Journal of Commodity Markets.
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  7. Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?. (2022). Li, Ziran ; Zhang, Tianyang.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:3:p:313-337.

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  8. Market uncertainty and sentiment around USDA announcements. (2022). Robe, Michel A ; A N, .
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:2:p:250-275.

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  9. How do USDA announcements affect international commodity prices?. (2022). Ke, Yangmin ; McKenzie, Andrew M.
    In: Journal of Commodity Markets.
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  10. Global commodity market disruption and the fallout. (2022). Ubilava, David ; Ferguson, Shon.
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  11. Time-Series Methods for Forecasting and Modeling Uncertainty in the Food Price Outlook. (2022). Short, Gianna ; Chelius, Carolyn ; MacLachlan, Matthew.
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  15. When does USDA information have the most impact on crop and livestock markets?. (2021). Adjemian, Michael ; Irwin, Scott H ; Karali, Berna ; Cao, Xiang ; Isengildina-Massa, Olga ; Johansson, Robert C.
    In: Journal of Commodity Markets.
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  16. Market Uncertainty and Sentiment around USDA Announcements. (2020). Robe, Michel A ; An, Nguyen Que.
    In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri.
    RePEc:ags:aaea20:304497.

    Full description at Econpapers || Download paper

  17. The Impact of Public Information on Commodity Market Performance : The Response of Corn Futures to USDA Corn Production Forecasts. (2020). Hoffman, Linwood A ; Arnade, Carlos Anthony.
    In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri.
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  18. The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments. (2018). Lopez, Raquel.
    In: Energy Economics.
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  19. Information Content of USDA Rice Reports and Price Reactions of Rice Futures. (2017). McKenzie, Andrew M ; Darby, Jessica L.
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  20. Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty. (2017). Robe, Michel ; Wallen, Jonathan ; Covindassamy, Genevre.
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  21. What Drives Volatility Expectations in Grain and Oilseed Markets?. (2017). Robe, Michel ; Adjemian, Michael ; Wallen, Jonathan ; Bruno, Valentina.
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  22. From Farm Income to Food Consumption: Valuing USDA Data Products. (2016). Lusk, Jayson.
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  23. Essays on the forecasts of ending stocks. (2015). Xiao, Jinzhi.
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  24. MODELO DE VOLATILIDADE ESTOCÁSTICA COM SALTOS APLICADO A COMMODITIES AGRÍCOLAS. (2014). AFONSO DE CAMPOS PINT, ; BODRA, ROBERTO ANDREOTTI .
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  26. Pricing Options on Commodity Futures: The Role of Weather and Storage. (2011). Fortenbery, T. Randall ; Bozic, Marin.
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  27. Pricing Options on Commodity Futures: The Role of Weather and Storage. (2010). Bozic, Marin.
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  28. Short-Run Price and Welfare Impacts of Federal Ethanol Policies. (2008). McPhail, Lihong ; Babcock, Bruce.
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