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Modeling regime-dependent agricultural commodity price volatilities

Author

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  • Na Li
  • Alan Ker
  • Abdoul G. Sam
  • Satheesh Aradhyula

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  • Na Li & Alan Ker & Abdoul G. Sam & Satheesh Aradhyula, 2017. "Modeling regime-dependent agricultural commodity price volatilities," Agricultural Economics, International Association of Agricultural Economists, vol. 48(6), pages 683-691, November.
    • Handle: RePEc:bla:agecon:v:48:y:2017:i:6:p:683-691
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    File URL: http://hdl.handle.net/10.1111/agec.2017.48.issue-6
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    Citations

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    Cited by:

    1. Matteo Bonato & Oğuzhan Çepni & Rangan Gupta & Christian Pierdzioch, 2023. "El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 785-801, July.
    2. Degiannakis, Stavros & Filis, George & Klein, Tony & Walther, Thomas, 2022. "Forecasting realized volatility of agricultural commodities," International Journal of Forecasting, Elsevier, vol. 38(1), pages 74-96.
    3. Rezitis, Anthony N. & Kastner, Gregor, 2021. "On the joint volatility dynamics in international dairy commodity markets," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 60(2), January.
    4. Zhang, Yongmin & Ding, Shusheng & Scheffel, Eric M., 2019. "A key determinant of commodity price Co-movement: The role of daily market liquidity," Economic Modelling, Elsevier, vol. 81(C), pages 170-180.
    5. Wen, Jun & Khalid, Samia & Mahmood, Hamid & Zakaria, Muhammad, 2021. "Symmetric and asymmetric impact of economic policy uncertainty on food prices in China: A new evidence," Resources Policy, Elsevier, vol. 74(C).
    6. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
    7. Esposti, Roberto, 2024. "Dating common commodity price and inflation shocks with alternative approaches," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), vol. 13(2), July.
    8. Krzysztof Drachal, 2019. "Analysis of Agricultural Commodities Prices with New Bayesian Model Combination Schemes," Sustainability, MDPI, vol. 11(19), pages 1-23, September.
    9. Sam, Abdoul G. & Abidoye, Babatunde & Mashaba, Sihle, 2021. "Climate change and household welfare in Sub-Saharan Africa: empirical evidence from Swaziland," LSE Research Online Documents on Economics 106700, London School of Economics and Political Science, LSE Library.
    10. Abdoul G. Sam & Babatunde O. Abidoye & Sihle Mashaba, 2021. "Climate change and household welfare in sub-Saharan Africa: empirical evidence from Swaziland," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 13(2), pages 439-455, April.
    11. Chemeris, Anna & Liu, Yong & Ker, Alan P., 2022. "Insurance subsidies, climate change, and innovation: Implications for crop yield resiliency," Food Policy, Elsevier, vol. 108(C).
    12. Terrance Grieb & Nam Hoang, 2019. "The Effects of Hedging and Speculation on Cash-Futures Basis: Results from U.S. Wheat Markets," Review of Economics & Finance, Better Advances Press, Canada, vol. 17, pages 1-15, August.
    13. Xiaotong Lian & Yingda Song, 2021. "Pricing and calibration of the futures options market: A unified approximation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1074-1091, July.

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