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Modeling regime-dependent agricultural commodity price volatilities

  • Published:2017-07-25 Issue:6 Volume:48 Page:683-691
  • ISSN:0169-5150
  • Container-title:Agricultural Economics
  • language:en
  • Short-container-title:Agricultural Economics

Author:

Li Na1,Ker Alan2,Sam Abdoul G.3,Aradhyula Satheesh4

Affiliation:

1. Department of Nutritional Sciences; University of Toronto; Toronto Canada

2. Institute for the Advanced Study of Food and Agricultural Policy; University of Guelph; Canada

3. Department of Agricultural, Environmental and Development Economics; The Ohio State University; Columbus USA

4. Department of Agricultural and Resource Economics; The University of Arizona; Tucson USA

Publisher

Wiley

Subject

Economics and Econometrics,Agronomy and Crop Science

Reference52 articles.

1. Modelling regime-specific stock price volatility;Alexander;Oxf. B Econ. Stat,2009

2. Normal mixture GARCH (1, 1): Applications to exchange rate modelling;Alexander;J Appl. Econom,2006

3. Agricultural price volatility spillover effects: The case of Greece;Apergis;Eur. Rev. Agric. Econ,2003

4. GARCH time-series models: An application to retail livestock prices;Aradhyula;Western J. Agr. Econ,1988

5. Why food price volatility doesn't matter;Barrett;Foreign Aff,2011

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