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- W2474394684 abstract "The objective of this study is to evaluate the forecast performance of the futures and options markets relative to a reputable expert. Futures and options prices are used to make forecasts of the quarterly average price of hogs. These forecasts are in the form of an empirical probability density function. The expert's forecasts are in the form of ranges, but are converted into probability forecasts by using historical performance as a measure of uncertainty. The performance of these two sets of probability forecasts are assessed using three criteria: (1) the forecast error of the expected value, (2) the reliability or calibration of the forecasted distribution, (3) the accuracy of the forecasts.The futures and options-based point forecasts have smaller forecast errors but are more significantly downward biased than the expert's forecasts. Calibration tests on the futures and options-based forecasts reject good calibration because the forecasts are biased. The simple logarithmic scoring rule used in the final criterion awarded the futures and options-based forecasts better scores than the expert. There is insufficient evidence to reject the efficient market hypothesis for the live-hog futures and options markets." @default.
- W2474394684 created "2016-07-22" @default.
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- W2474394684 date "1991-01-01" @default.
- W2474394684 modified "2023-09-27" @default.
- W2474394684 title "A comparison of options- and expert-based price forecasts" @default.
- W2474394684 hasPublicationYear "1991" @default.
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