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Dynamic Stochastic Simulation of Daily Cash and Futures Cotton Prices

  • DeeVon Bailey (a1), B. Wade Brorsen (a2) and James W. Richardson (a3)

Abstract

A dynamic model of daily cash and futures prices for cotton was developed using time series analysis. The time series model was included in a recursive Monte Carlo simulation model. Validation of the model was performed with a stochastic, dynamic simulation of the estimated model over the observation period 1975-1982 and with a static, deterministic out-of-sample forecast from December 9, 1981 through March 9, 1982. The model was then used to incorporate futures trading strategies into a policy simulation model.

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Keywords

Dynamic Stochastic Simulation of Daily Cash and Futures Cotton Prices

  • DeeVon Bailey (a1), B. Wade Brorsen (a2) and James W. Richardson (a3)

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