Modeling and forecasting volatility in the global food commodity prices;Modelování a prognózování volatility globálních cen potravinářských komodit

Agricultural Economics

Volumn 57, Issue 3, 2011, Pages 132-139

  Onour, Ibrahim A ^a   Sergi, Bruno S ^b  

^a Arab Planning Institute   (Kuwait)

^b UNIVERSITY OF MESSINA   (Italy)

Author keywords

Fat tail distribution; Food commodities; Forecast; Volatility

Indexed keywords

ARACHIS HYPOGAEA; TRITICUM AESTIVUM;

EID: 79953723777     PISSN: 0139570X     EISSN: None     Source Type: Journal    
DOI: 10.17221/28/2010-agricecon     Document Type: Article

References (27)

1. Babula R., Somwaru A. (1992): Dynamic impacts of a shock in crude oil price on agricultural chemical and fertilizer prices. Agribusiness, 8: 243-252.
2. Bai J., Serena NG (2005): Tests for skewness, kurtosis, and normality for time series data. Journal of Business and Economic Statistics, American Statistical Association, 23: 49-60.
3. Baillie R. (1996): Long memory process and fractional integration in econometrics. Journal of Econometrics, 37: 5-60.
4. Barone-Adesi G., Whaley R. (1987): Efficient analytic approximation of American option values. Journal of Fi- nance, 42: 301-320.
5. Black F., Scholes M. (1993): The pricing of options and corporate liabilities. Journal of Political Economy, 81: 637-659.
6. Bollerslev T., Engle R., nelson D. (2003): Arch Models. in: Editors Engle R., McFadden D. (eds.): handbook of Econometrics, Vol. 4, chapter 39.
7. Bollerslev T., Mikkelsen H. (1996): Modeling and pricing long memory in stock market volatility. Journal of Econometrics, 37: 151-184.
8. Brooks C., Persand G., (2003): The effect of asymmetries on stock index returns value-at-risk estimates. Journal of risk Finance, 4: 29-42.
9. Cunado J., Gil-Alana L., Perez de Gracia F. (2005): A test for rational bubbles in the nASDAQ stock index: a fractionally integrated approach. Journal of Banking & Finance, 29: 2633-2654.
10. Diebold F., Mariano R. (1995): Comparing predictive accuracy. Journal of Business and Economic Statistics, 13: 253-263.
11. Diebold F., rudebusch G. (1991): On the power of Dickey- Fuller tests against fractional alternatives. Econometric Letters, 35: 155-160.
12. Ding Z., Granger C. (1996): Modeling volatility persis-tance of speculative returns: a new approach. Journal of Econometrics, 37: 185-216.
13. Du X., Cindy L., Dermot J. (2009): Speculation and Volatility Spillover in the crude oil and Agricultural commodity Markets: A Bayesian Analysis. Working Paper 09-WP 491, center for Agricultural and rural Development, Iowa State University. Available at www.card.iastat.edu
14. Engle R. (2002): New frontiers for arch models. Journal of Applied Econometrics, 17: 425-446.
15. Engle R., Bollerslev T. (1986): Modeling the persistence of conditional variances. Econometric reviews, 5: 1-50.
16. Engle R.F. (1982): Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50: 987-1008.
17. FAo (Food and Agricultural organization) (2008): Food outlook report, June.
18. Granger C., Ding Z. (1996): Varieties of long memory models. Journal of Econometrics, 37: 61-78.
19. Hamilton J. (1994): Time Series Analysis. Princeton University Press, Princeton, new Jersey.
20. Hansen P., Launde A. (2003): A Forecast comparison of Volatility Models: Does anything Beat a gArch(1,1)? Working Paper, Brown University, Department of Eco- nomics.
21. IATP (institute for Agriculture and Trade Policy) (2008): commodity Market Speculation: The risk to Food Security and Agriculture. report, Minneapolis, Minnesota, november.
22. Kroner K., Kneafsey D., classens S. (1993): Forecasting Volatility in commodity Markets. Policy research Working Paper 1226, The World Bank, Washington.
23. McLeod A., Hipel K. (1978): Preservation of the rescaled adjusted range 1: A reassessment of the hurst phenomenon. Water resource research, 14: 491-508.
24. Shephard N. (2005): Stochastic Volatility: Selected reading. oxford University Press, new York.
25. Taylor S. (1994): Modelling stochastic volatility. Mathematical Finance, 4: 183-204.
26. Uri N. (1996): Changing crude oil price effects on U.S. agricultural employment. Energy Economics, 18: 185-202.
27. Vilasuso J. (2002): Forecasting exchange rate volatility. Economic Letters, 76: 59-64.