Dynamic stochastic simulation of daily cash and futures cotton prices. Academic Article uri icon

abstract

  • 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

author list (cited authors)

  • Bailey, D., Brorsen, B. W., & Richardson, J. W.

complete list of authors

  • Bailey, D||Brorsen, BW||Richardson, JW

publication date

  • January 1984