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A Long Memory Conditional Variance Model for International Grain Markets AgEcon
Jin, Hyun Joung.
The study explores a long memory conditional volatility model on international grain markets, demonstrating importance of modeling both temporal effects of volatility and long memory process. This study adopts six different volatility models, nested in an ARMA(p,q)- FIGARCH(P,D,Q), to capture dependence of grain cash price volatility and compares the performance of the six models. It also visits a related question about non-normal behaviors of grain prices and adopts the student-t density intended to account for fat-tailed properties of the data. We find suitability of the FIGARCH type models under the student-t distribution and competitiveness of the parsimonious FIGARCH(1,d,0) for modeling long memory volatility.
Tipo: Journal Article Palavras-chave: International grain markets; Stochastic volatility; FIGARCH; Non-normality; Agribusiness; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; International Development; International Relations/Trade.
Ano: 2008 URL: http://purl.umn.edu/45654
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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
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Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis AgEcon
Du, Xiaodong; Yu, Cindy L.; Hayes, Dermot J..
This paper assesses the roles of various factors influencing the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn and wheat futures prices from November 1998 to January 2009. Model parameters are estimated using Bayesian Markov chain Monte Carlo methods. The main results are as follows. Speculation, scalping, and petroleum inventories are found to be important in explaining oil price variation. Several properties of crude oil price dynamics are established including mean-reversion, a negative correlation between price and volatility, volatility clustering, and infrequent compound Poisson jumps. We find evidence of volatility...
Tipo: Conference Paper or Presentation Palavras-chave: Gibbs sampling; Merton jump; Leverage effect; Stochastic volatility; Demand and Price Analysis; Financial Economics; Resource /Energy Economics and Policy; G13; Q4.
Ano: 2009 URL: http://purl.umn.edu/49276
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