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  1. Arbitrage hedging in markets for the US lean hogs and the EU live pigs

    Ziegelbäck, Martin; Kastner, Gregor
    The paper describes an attempt to gain insight into the relationship between cash and futures markets for US lean hogs and EU live pigs, and the opportunity of arbitrage hedging. In doing so, the authors use newer methods of threshold cointegration analysis for time series from 1999 until 2008. Besides the existence of a long-run equilibrium, asymmetric price adjustments can be demonstrated. This is especially the case for the EU live pigs, where price variations of the basis are higher and exhibit lower standard deviation. The results also perfectly show that cash prices follow the futures market more than the...
    (application/pdf) - 18-oct-2016

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