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	Provedor de dados AgEcon (1) Autor Du, Xiaodong (1) Hayes, Dermot J. (1) Yu, Cindy L. (1) Palavra-chave Demand and Price Analysis (1) Financial Economics (1) Jumps (1) Rational learning (1) Resource /Energy Economics and Policy (1) Stochastic volatility (1) Technological innovation. (1) Mais... Tipo do documento Working or Discussion Paper (1) Ano 2009 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última Dynamics of Biofuel Stock Prices: A Bayesian Approach AgEcon Du, Xiaodong; Hayes, Dermot J.; Yu, Cindy L.. We use Bayesian Markov Chain Monte Carlo methods to investigate the linkage between the volatility of ethanol security prices and the uncertainty surrounding the profitability of ethanol production and the price variations of non-ethanol energy securities. The joint evolution of return and volatility is modeled as a stochastic process that incorporates jumps in both return and volatility. While a strong and significant correlation is found between the volatility of ethanol securities and profit uncertainty from June 2005 to July 2008, the dynamic pattern of ethanol stock volatility is strikingly similar to that of the S&P 500 energy sector index in the more recent period. Our evidence lends support to the findings in the literature on rational learning... Tipo: Working or Discussion Paper Palavras-chave: Jumps; Rational learning; Stochastic volatility; Technological innovation.; Demand and Price Analysis; Financial Economics; Resource /Energy Economics and Policy. Ano: 2009 URL: http://purl.umn.edu/53825 Registros recuperados: 1 Primeira ... 1 ... Última

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