On jumps and arch effects in natural resource prices: An application to Pacific Northwest stumpage prices

American Journal of Agricultural Economics

Volumn 84, Issue 2, 2002, Pages 387-400

  Saphores, Jean Daniel ^a   Khalaf, Lynda ^a   Pelletier, Denis ^a  

^a University of California ^*

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Conditional heteroscedasticity; Jump diffusions; Monte Carlo tests; Real options; Stumpage prices

Indexed keywords

DECISION MAKING; MONTE CARLO ANALYSIS; NATURAL RESOURCE; PRICE DYNAMICS; TIMBER HARVESTING;

UNITED STATES;

EID: 0036245403     PISSN: 00029092     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-8276.00305     Document Type: Article

References (40)

1. The price elasticity of stumpage sales from federal forests
2. Empirical performance of alternative option pricing models
3. A simplified jump process for common stock returns
4. Evaluating natural resource investments
5. Nonlinear dynamics and the distribution of daily stock index returns
6. The tree-cutting problem in a stochastic environment
7. Land development and wilderness conservation policies under uncertainty: A synthesis
8. Forest land policy: The optimal stock of old-growth forest
9. Hypothesis testing when a parameter is present only under the alternative
10. Hypothesis testing when a parameter is present only under the alternative
11. Augmented GARCH(p,q) process and its diffusion limit
12. Some impossibility theorems in econometrics with applications to structural and dynamic models
13. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
14. Stochastic price models and optimal tree cutting: Results for loblolly pine
15. Inference when a nuisance parameter is not identified under the null hypothesis
16. On jump processes in the foreign exchange and stock markets
17. Unit root tests with conditional heteroscedasticity
18. Stock market prices do not follow random walks: Evidence from a simple specification test
19. Petroleum taxation under uncertainty-contingent claims analysis with an application to Norway
20. The lognormal diffusion is hardly an equilibrium price process for exhaustible resources
21. The valuation of forestry resources under stochastic prices and inventories
22. The great crash, the oil price shock, and the unit root hypothesis
23. The optimal production of an exhaustible resource when price is exogenous and stochastic
24. The decision to conserve or harvest old-growth forest
25. The Stochastic behavior of commodity prices: Implications for valuation and hedging
26. Optimal forest rotation when stumpage prices follow a diffusion process
27. The effect of catastrophic risk on forest investment decisions
28. Option pricing and Timberland's land-use conversion option