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	Provedor de dados AgEcon (5) Autor Du, Xiaodong (5) Yu, Cindy L. (5) Hayes, Dermot J. (3) Hennessy, David A. (2) Palavra-chave Resource /Energy Economics and Policy (3) Crop Production/Industries (2) Demand and Price Analysis (2) Financial Economics (2) Gibbs sampling (2) Leverage effect (2) Merton jump (2) Stochastic volatility (2) Agricultural and Food Policy (1) Crop insurance (1) G13 (1) Gibbs sampler (1) Jumps (1) Just and Pope technology (1) Negative skewness (1) Political Economy (1) Q4 (1) Quantile regression. (1) Rational learning (1) Research Methods/ Statistical Methods (1) Mais... Tipo do documento Working or Discussion Paper (3) Conference Paper or Presentation (2) Ano 2010 (2) 2009 (3) País United States (5) Idioma Inglês (5)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 5 Primeira ... 1 ... Última Testing Day’s Conjecture that More Nitrogen Decreases Crop Yield Skewness AgEcon Du, Xiaodong; Hennessy, David A.; Yu, Cindy L.. While controversy surrounds skewness attributes of typical yield distributions, a better understanding is important for agricultural policy assessment and for crop insurance rate setting. Day (1965) conjectured that crop yield skewness declines with an increase in low levels of nitrogen use, but higher levels have no effect. In a theoretical model based on the law of the minimum (von Liebig) technology, we find conditions under which Day’s conjecture applies. Employing four experimental plot datasets, we investigate the conjecture by introducing (a) a flexible Bayesian extension of the Just-Pope technology to incorporate skewness, and (b) a quantile-based measure of skewness shift. For corn yields, the Bayesian estimation provides strong evidence in favor... Tipo: Working or Discussion Paper Palavras-chave: Crop insurance; Gibbs sampler; Just and Pope technology; Negative skewness; Quantile regression.; Crop Production/Industries; Political Economy; Research Methods/ Statistical Methods; Risk and Uncertainty. Ano: 2010 URL: http://purl.umn.edu/93471 Are Crop Yield Distributions Negatively Skewed? A Bayesian Examination AgEcon Du, Xiaodong; Hennessy, David A.; Yu, Cindy L.. Tipo: Conference Paper or Presentation Palavras-chave: Crop Production/Industries. Ano: 2010 URL: http://purl.umn.edu/60988 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 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 jumps. We find evidence of volatility... Tipo: Working or Discussion Paper Palavras-chave: Gibbs sampling; Merton jump; Leverage effect; Stochastic volatility.; Agricultural and Food Policy; Resource /Energy Economics and Policy. Ano: 2009 URL: http://purl.umn.edu/50073 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 Registros recuperados: 5 Primeira ... 1 ... Última

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