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AgEcon Search 12 records found 1 - 10next  jump to record: Search took 0.07 seconds. 
1.
This paper extends the Lagrange multiplier (LM) test to testing white noise disturbances against GARCH disturbances in the linear regression model. The resulting LM test [...]
English | 1991 | Working or Discussion Paper |
2.
It was intended in this research to detect and to analyze the existence of conditional volatility in the time series of the prices of the spot market of the Brazilian cof [...]
01 May 2006 | Journal Article |
3.
Taking the price of grain in Guizhou Province as an example, by establishing GARCH model, I calculate VAR of logarithm return of grain price index, in order to conduct re [...]
2011-08 | Journal Article |
4.
Canada’s hog sector has faced two decades of tumultuous growth, yet there are no recent estimates of supply response. A state-space model for hog supply response is dev [...]
2013-02 | Working or Discussion Paper |
5.
Globally, the volatility trend in food prices has continued to increase. Different data give the impression that this volatility may be caused by the international financ [...]
English | 2017 | Journal Article |
6.
This paper examines the influence of exchange rate exposure on Australian stock returns and their volatility, using daily data from January 2003 to February 2013. Further [...]
English | 2014 | Journal Article |
7.
This study evaluates the efficiency gains in forecasting three commodity prices (live cattle, coffee and cotton) using time series models. Different leves of temporal agg [...]
2015 | Conference Paper/ Presentation |
8.
This paper evaluates how different types of speculation affect the volatility of commodities’ futures prices. We adopt four indexes of speculation: Working’s T, the m [...]
2013-05 | Working or Discussion Paper |
9.
In the last decades a liberalization of the electric market has started; prices are now determined on the basis of contracts on regular markets and their behaviour is mai [...]
2008-02 | Working or Discussion Paper |
10.
Users of agricultural markets always need to establish accurate representations of future volatility. This paper investigates the properties of realized volatility in the [...]
2005 | Conference Paper/ Presentation |

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