COMPARING THE PERFORMANCES OF THE PARTIAL EQUILIBRIUM AND TIME-SERIES APPROACHES TO HEDGING

This research compares partial equilibrium and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when hedging commodity price risk using a simple derivative with a linear payoff function (a futures contract). For various methods of parameter estimation and inference, we find that the partial equilibrium models cannot out-perform the time series model. The partial equilibrium models unpalatable assumptions of deterministically evolving futures volatility seems to impede their hedging effectiveness, even when potentially foresighted option-implied volatility term structures are employed.Marketing,

Estimating Actual Bid-Ask Spreads in Commodity Futures Markets

Various bid-ask spread estimators are applied to transaction data from LIFFE cocoa and coffee futures markets, and the resulting estimates are compared to observed actual bid-ask spreads. Results suggest that actual bid-ask spreads, which are not reported by most open-outcry futures markets, can be reasonably estimated using readily available transaction data. This is especially important since recent research seems to indicate that efforts to estimate effective spreads using data commonly available from futures markets have not been successful. Thus estimates of actual spreads can give market participants and researchers some idea of potential transaction costs. Accurate estimates of bid-ask spreads will also be needed to assess the relative efficiency of electronic versus open-outcry trading. Results indicate that estimators using averages of absolute price changes perform significantly better at estimating actual bid-ask spreads in futures markets than estimators using the covariance of successive price changes.Marketing,

PRICE AND PRICE RISK DYNAMICS IN BARGE AND OCEAN FREIGHT MARKETS AND THE EFFECTS ON COMMODITY TRADING

The effects of volatility of barge and ocean freight prices on prices throughout the international grain-marketing channel are analyzed using a Multivariate GARCH-M model. The model is used to infer the extent to which transportation price risk affects the level of international grain prices. Results indicate that both barge and ocean price volatility influence grain prices, but barge price volatility tends to have a greater impact on grain prices than that arising from ocean price volatility. The lack of a futures contract for barge rates may be partially responsible for its significant influence on grain price levels.Barge and ocean freight prices, futures contracts, Multivariate GARCH-Models, Price volatility, International Relations/Trade,

Criminal Fault as Per the Lamer Court and the Ghost of William McIntyre

Contrary to recent criticisms to the effect that the Supreme Court of Canada favours the rights of criminal defendants and shuns the interests of the community, the Lamer Court has in fact championed the moral requisites of the community in its constitutional jurisprudence on criminal fault. By viewing rights and responsibilities as inextricably linked, the Lamer Court implicitly borrows from natural law traditions espoused by the Dickson Court\u27s most conspicuous dissenter on criminal fault issues-Mr. Justice William McIntyre. This article argues that the tradition or philosophy underlying criminal fault as per the Lamer Court contrasts with the individualist, rights-oriented tendency of the Dickson Court, and corresponds with the approach of William McIntyre. Accordingly, the controversial holding of the Court in R v. Daviault does not signal a retreat from the present Court\u27s distinctive approach, as exemplified by the majority opinion in the Creighton quartet and in DeSousa, Hundal, and Rodriguez

Arme Blanche and Revolver: The French-Austrian School of War, The Frontier and the United States Cavalry

This thesis is a study of United States Army war fighting doctrine, tactical and strategic, and weapons in the years 1815 to 1861. The primary emphasis is upon the mounted forces, specifically the Dragoon, Mounted Rifles and Cavalry Regiments. The most traditional branch of the 19th Century Army, the Cavalry, was largely American in design albeit conventional in nature, not following any specific European model. As with the rest of the Antebellum Army, however, France was the wellspring for tactical and strategic doctrine, military instruction and weaponry. In order to answer the long debated question of why the Union defeated the Confederacy, this paper analyzes the post-Napoleonic, trans-Atlantic military consensus, as crystallized in the writings of Henri Jomini. The Antebellum Army was, doctrinally and operationally, modeled on French practice. The primary purpose of the formal Army was the defense of the United States against European naval assault. Thus the paramount emphasis on coastal fortifications. Moreover, in order to secure political legitimacy, against the ardent proponents of the militia, the Army actively pursued involvement in Western exploration and national improvement efforts such as canal building. West point was the nation\u27s sole engineering school in the pre-Civil War Era. The other Army was charged with the ignoble business of frontier security and Indian pacification. Despite being functionally the primary responsibility of the Army, these duties had no consequential impact on tactics, weapons or organization. The US-Mexican War was waged on purely European lines by the Army and was the primary classroom for such future Civil War generals as Robert E. Lee, George B. McClellan and Ulysses S. Grant as well as Confederate President Jefferson Davis. In the years immediately preceding the Civil War, there was major expansion and modernization of the Army, particularly during Davis\u27 tenure as the Secretary of War. The 1854-1856 US Military Commission to Europe, consisting of Majors Robert Mor

Forecasting the KC-135 Cost Per Flying Hour: A Panel Data Analysis

This thesis developed models to forecast the KC-135R monthly Consumables (CONS) and Depot Level Reparable (DLR) Cost per Flying Hour (CPFH) for each U.S. Air Force service component. Using data for each operating location from FY1998 to FY2004, the models were constructed using panel data analysis, a form of regression that adds a cross-sectional and time-series dimension. In addition to including factors previously identified as prime contributors to CPFH, the models added new elements that may influence maintenance costs and be of interest to policymakers. These elements included mission capable rates, airframe operating hours, and climatology factors. An interaction variable for utilization rate and combat flying hours is also included. The results reveal that utilization rate can be a major factor to determine if the CPFH increases or decreases when a wing is flying combat hours. Furthermore, mission capable rates have an inverse relationship on the KC-135R CPFH, while average airframe hours have a positive relationship. Average airframe hours is an alternative measure to aircraft age, although this measure is better suited for quarterly or yearly models. Overall, this research extends knowledge of the KC-135R CPFH program and provides a tool for planners, programmers, and decision makers at all levels