Isengildina-Massa, Olga; Irwin, Scott H.; Good, Darrel L.; … - In: Agribusiness 24 (2008) 4, pp. 473-490
This study investigates the impact of U.S. Department of Agriculture World Agricultural Supply and Demand Estimate (WASDE) reports on implied volatility in corn and soybean markets over 1985 to 2002. If WASDE reports resolve uncertainty, implied volatility should drop immediately after release...