Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach

Journal of Empirical Finance

Volumn 5, Issue 2, 1998, Pages 99-129

  Holt, Matthew T ^a   Aradhyula, Satheesh V ^b  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

^b UNIVERSITY OF ARIZONA   (United States)

Author keywords

Broiler market; Endogenous risk; Multivariate GARCH M models; Rational expectations; Supply response

Indexed keywords

EID: 0002045953     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(97)00014-5     Document Type: Article

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