Dynamic stochastic simulation of daily cash and futures cotton prices.
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A 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 1975-82 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.-from Authors