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Do rice prices follow a random walk? Evidence from Markov switching unit root tests for Asian markets

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  • Harold Glenn A. Valera
  • Jim Lee

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  • Harold Glenn A. Valera & Jim Lee, 2016. "Do rice prices follow a random walk? Evidence from Markov switching unit root tests for Asian markets," Agricultural Economics, International Association of Agricultural Economists, vol. 47(6), pages 683-695, November.
    • Handle: RePEc:bla:agecon:v:47:y:2016:i:6:p:683-695
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    10. Emrah Çevik & Erdal Atukeren & Turhan Korkmaz, 2013. "Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests," Empirical Economics, Springer, vol. 45(2), pages 675-695, October.
    11. Jim Lee & Harold Glenn A. Valera, 2016. "Price transmission and volatility spillovers in Asian rice markets: Evidence from MGARCH and panel GARCH models," The International Trade Journal, Taylor & Francis Journals, vol. 30(1), pages 14-32, January.
    12. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
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    14. Marc Jim M. Mariano & James A. Giesecke & Nhi H. Tran, 2015. "The effects of domestic rice market interventions outside business-as-usual conditions for imported rice prices," Applied Economics, Taylor & Francis Journals, vol. 47(8), pages 809-832, February.
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    Cited by:

    1. Esposti, Roberto, 2021. "On the long-term common movement of resource and commodity prices.A methodological proposal," Resources Policy, Elsevier, vol. 72(C).
    2. Oscar V. De la Torre-Torres & María de la Cruz del Río-Rama & Álvarez-García José, 2024. "Non-Commodity Agricultural Price Hedging with Minimum Tracking Error Portfolios: The Case of Mexican Hass Avocado," Agriculture, MDPI, vol. 14(10), pages 1-28, September.
    3. Ray Huffaker & Andrew Fearne, 2019. "Reconstructing systematic persistent impacts of promotional marketing with empirical nonlinear dynamics," PLOS ONE, Public Library of Science, vol. 14(9), pages 1-28, September.
    4. Anisa Dwi Utami & Harianto Harianto & Bayu Krisnamurthi, 2023. "Exploring the pattern of price interdependence in rice market in Indonesia in the presence of quality differential," Cogent Economics & Finance, Taylor & Francis Journals, vol. 11(1), pages 2178123-217, December.
    5. Oscar V. De la Torre-Torres & Francisco Venegas-Martínez & Mᵃ Isabel Martínez-Torre-Enciso, 2021. "Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models," Mathematics, MDPI, vol. 9(2), pages 1-22, January.
    6. Harold Glenn A. Valera & Mark J. Holmes & Valerien O. Pede & Jean Balié, 2023. "How convergent are rice export prices in the international market?," Agricultural Economics, International Association of Agricultural Economists, vol. 54(1), pages 127-141, January.
    7. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & María de la Cruz Del Río-Rama & José Álvarez-García, 2022. "Using Markov-Switching Models in US Stocks Optimal Portfolio Selection in a Black–Litterman Context (Part 1)," Mathematics, MDPI, vol. 10(8), pages 1-28, April.
    8. Oscar V. De la Torre-Torres & Dora Aguilasocho-Montoya & María de la Cruz del Río-Rama, 2020. "A Two-Regime Markov-Switching GARCH Active Trading Algorithm for Coffee, Cocoa, and Sugar Futures," Mathematics, MDPI, vol. 8(6), pages 1-19, June.
    9. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & José Álvarez-García, 2019. "A Test of Using Markov-Switching GARCH Models in Oil and Natural Gas Trading," Energies, MDPI, vol. 13(1), pages 1-24, December.
    10. Esposti, Roberto, 2017. "What Makes Commodity Prices Move Together? An Answer From A Dynamic Factor Model," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 260889, European Association of Agricultural Economists.
    11. Kurmas Akdogan, 2018. "Mean-reversion and structural change in European food prices," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 18(4), pages 163-173.
    12. Deniz Erer & Elif Erer & Selim Güngör, 2023. "The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.

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