Modelling risk in agricultural finance: Application to the poultry industry in Taiwan

Mathematics and Computers in Simulation

Volumn 79, Issue 5, 2009, Pages 1472-1487

  Huang, Biing Wen ^a   Chen, Meng Gu ^a   Chang, Chia Lin ^a   McAleer, Michael ^b,c  

^a NATIONAL CHUNG HSING UNIVERSITY   (Taiwan)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

^c YOKOHAMA NATIONAL UNIVERSITY   (Japan)

Author keywords

Agricultural finance; Asymmetric effects; Conditional volatility models; Poultry industry; Risk

Indexed keywords

AGRICULTURE; COLOR; COSTS; DEREGULATION; FINANCE; GROWTH (MATERIALS); INDUSTRY; INTERNATIONAL TRADE; MEATS; OPTICAL PROPERTIES; RISK ASSESSMENT; RISK MANAGEMENT; RISK PERCEPTION; SAFETY FACTOR;

AGRICULTURAL FINANCE; AGRICULTURAL MARKETS; AGRICULTURAL PRODUCTIONS; ASYMMETRIC EFFECTS; BROILER CHICKENS; BROILER INDUSTRIES; CHICKEN MEATS; CONDITIONAL VOLATILITY MODELS; EMPIRICAL RESULTS; EMPIRICAL RISKS; FINANCIAL MARKETS; FINANCIAL VOLATILITIES; POULTRY INDUSTRIES; POULTRY INDUSTRY; SECOND MOMENTS; TIME SERIES; VOLATILITY MODELS; WORLD TRADE ORGANIZATIONS;

RISK ANALYSIS;

EID: 57649102200     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2008.06.005     Document Type: Article

References (31)

1. Aradhyula S.V., and Holt M.T. Risk behavior and rational expectations in the U.S. broiler market. American Journal of Agricultural Economics 71 (1989) 893-902
2. Bollerslev T. Generalised autoregressive conditional heteroscedasticity. Journal of Econometrics 31 (1986) 307-327
3. Boussama F. Asymptotic normality for the quasi-maximum likelihood estimator of a GARCH model. Comptes Rendus de l'Academie des Sciences Série I 331 (2000) 81-84 (in French)
4. Dickey D.A., and Fuller W.A. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74 (1979) 427-431
5. Dickey D.A., and Fuller W.A. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49 (1981) 1057-1072
6. Egelkraut T.M., Garcia P., and Sherrick B.J. The term structure of implied forward volatility: recovery and informational content in the corn options market. American Journal of Agricultural Economics 89 (2007) 1-11
7. Elie L., and Jeantheau T. Consistency in heteroskedastic models. Comptes Rendus de l'Académie des Sciences Série I 320 (1995) 1255-1258 (in French)
8. Elliott G., Rothenberg T.J., and Stock J.H. Efficient tests for an autoregressive unit root. Econometrica 64 (1996) 813-836
9. Engle R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50 (1982) 987-1007
10. Glosten L., Jagannathan R., and Runkle D. On the relation between the expected value and volatility of nominal excess return on stocks. Journal of Finance 46 (1992) 1779-1801
11. Holt M., and Aradhyula S.V. Price risk in supply equations: an application of GARCH time-series models to the U.S. broiler market. Southern Economic Journal 57 (1990) 230-242
12. Jeantheau T. Strong consistency of estimators for multivariate ARCH models. Econometric Theory 14 (1998) 70-86
13. Jin H.J., and Frechette D.L. Fractional integration in agricultural futures price volatilities. American Journal of Agricultural Economics 86 (2004) 432-443
14. Koekebakker S., and Lien G. Volatility and price jumps in agricultural futures prices-evidence from wheat options. American Journal of Agricultural Economics 86 (2004) 1018-1031
15. Langley S.V., Giugale M.G., Meyers W.H., and Hallahan C. International financial volatility and agricultural commodity trade: a primer. American Journal of Agricultural Economics 82 (2000) 695-700
16. Lence S.H., and Hayes D.J. U.S. farm policy and the volatility of commodity prices and farm revenues. American Journal of Agricultural Economics 84 (2002) 335-351
17. Lee S.W., and Hansen B.E. Asymptotic theory for the GARCH(1,1) quasi-maximum likelihood estimator. Econometric Theory 10 (1994) 29-52
18. W.K. Li, S. Ling, M. McAleer, Recent theoretical results for time series models with GARCH errors, Journal of Economic Surveys 16 (2002) 245-269 (reprinted in M. McAleer, L. Oxley (Eds.), Contributions to Financial Econometrics: Theoretical and Practical Issues, Blackwell, Oxford, 2002, pp. 9-33).
19. Ling S., and Li W.K. On fractionally integrated autoregressive moving-average models with conditional heteroskedasticity. Journal of the American Statistical Association 92 (1997) 1184-1194
20. Ling S., and McAleer M. Stationarity and the existence of moments of a family of GARCH processes. Journal of Econometrics 106 (2002) 109-117
21. Ling S., and McAleer M. Necessary and sufficient moment conditions for the GARCH(r,s) and asymmetric power GARCH(r,s) models. Econometric Theory 18 (2002) 722-729
22. Ling S., and McAleer M. Asymptotic theory for a vector ARMA-GARCH model. Econometric Theory 19 (2003) 278-308
23. Ling S., and McAleer M. On adaptive estimation in nonstationary ARMA models with GARCH errors. Annals of Statistics 31 (2003) 642-674
24. McAleer M. Automated inference and learning in modeling financial volatility. Econometric Theory 21 (2005) 232-261
25. M. McAleer, F. Chan, D. Marinova, An econometric analysis of asymmetric volatility: theory and application to patents, Journal of Econometrics 139 (2007) 259-284.
26. Nelson D.B. Conditional heteroscedasticity in asset returns: a new approach. Econometrica 59 (1991) 347-370
27. Ng S., and Perron P. Lag length selection and the construction of unit root tests with good size and power. Econometrica 69 (2001) 1519-1554
28. Perron P., and Ng S. Useful modifications to some unit root tests with dependent errors and their local asymptotic properties. Review of Economic Studies 63 (1996) 435-463
29. Phillips P.C.B., and Perron P. Testing for a unit root in time series regression. Biometrika 75 (1988) 335-346
30. Shephard N. Statistical aspects of ARCH and stochastic volatility. In: Barndorff-Nielsen O.E., Cox D.R., and Hinkley D.V. (Eds). Statistical Models in Econometrics, Finance and Other Fields (1996), Chapman & Hall, London 1-67
31. Shively G.E. Price thresholds, price volatility, and the private costs of investment in a developing country grain market. Economic Modelling 18 (2001) 399-414