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	Provedor de dados AgEcon (2) Autor Du, Xiaodong (1) Hayes, Dermot J. (1) Insley, Margaret (1) Lei, Manle (1) Yu, Cindy L. (1) Palavra-chave Jumps (2) Resource /Energy Economics and Policy (2) Demand and Price Analysis (1) Financial Economics (1) Fire risk (1) Forest value (1) Hedging (1) No-arbitrage (1) Optimal harvesting (1) Poisson process (1) Rational learning (1) Real options (1) Stochastic volatility (1) Technological innovation. (1) Mais... Tipo do documento Journal Article (1) Working or Discussion Paper (1) Ano 2009 (1) 2007 (1) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 Primeira ... 1 ... Última Hedges and Trees: Incorporating Fire Risk into Optimal Decisions in Forestry Using a No-Arbitrage Approach AgEcon Insley, Margaret; Lei, Manle. This paper investigates the impact of including the risk of fire in an optimal tree harvesting model at the stand level, assuming timber prices follow a mean-reverting stochastic process. The relevant partial differential equation is derived under different assumptions about hedging the risk of fire. The assumption that fire risk is fully diversifiable is contrasted with the assumption that it can be hedged with another asset. It is conjectured that the risk-neutral probability of fire exceeds the historical probability of fire, which will affect forest land valuation. An empirical example is presented for two different silvicultural regimes. Tipo: Journal Article Palavras-chave: Fire risk; Forest value; Hedging; Jumps; No-arbitrage; Optimal harvesting; Poisson process; Real options; Resource /Energy Economics and Policy. Ano: 2007 URL: http://purl.umn.edu/7084 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: 2 Primeira ... 1 ... Última

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