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Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach

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  • Holt, Matthew T.
  • Aradhyula, Satheesh V.

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  • Holt, Matthew T. & Aradhyula, Satheesh V., 1998. "Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 99-129, June.
    • Handle: RePEc:eee:empfin:v:5:y:1998:i:2:p:99-129
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    4. Holt, Matthew T. & Moschini, GianCarlo, 1992. "Alternative Measures Of Risk In Commodity Supply Models: An Analysis Of Sow Farrowing Decisions In The United States," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 17(1), pages 1-12, July.
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    8. Cecchetti, Stephen G & Cumby, Robert E & Figlewski, Stephen, 1988. "Estimation of the Optimal Futures Hedge," The Review of Economics and Statistics, MIT Press, vol. 70(4), pages 623-630, November.
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    15. Beck, Stacie E, 1993. "A Rational Expectations Model of Time Varying Risk Premia in Commodities Futures Markets: Theory and Evidence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(1), pages 149-168, February.
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    19. Pagan, Adrian & Ullah, Aman, 1988. "The Econometric Analysis of Models with Risk Terms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 87-105, April.
    20. Sandmo, Agnar, 1971. "On the Theory of the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 61(1), pages 65-73, March.
    21. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
    22. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    23. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    24. Holt, Matthew & Aradhyula, Satheesh V., 1990. "Price Risk in Supply Equations: An Application of Garch Time-Series Models to the U.S. Broiler Market," Staff General Research Papers Archive 276, Iowa State University, Department of Economics.
    25. Antle, John M, 1983. "Testing the Stochastic Structure of Production: A Flexible Moment-based Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(3), pages 192-201, July.
    26. Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-124, April-Jun.
    27. Knoeber, Charles R & Thurman, Walter N, 1994. "Testing the Theory of Tournaments: An Empirical Analysis of Broiler Production," Journal of Labor Economics, University of Chicago Press, vol. 12(2), pages 155-179, April.
    28. Kroner, Kenneth F. & Lastrapes, William D., 1993. "The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model," Journal of International Money and Finance, Elsevier, vol. 12(3), pages 298-318, June.
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    Cited by:

    1. Matthew T. Holt & Andrew M. McKenzie, 2003. "Quasi-rational and ex ante price expectations in commodity supply models: an empirical analysis of the US broiler market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 407-426.
    2. Lenka Rumánková & T. Maier & J. Mach & L. Čechura & Z. Křístková & M. Malý & Z. Malá & P. Hálová, 2012. "Simulations at Czech poultry market," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 60(4), pages 327-334.
    3. David S. Bullock & Philip Garcia & Kie‐Yup Shin, 2005. "Measuring producer welfare under output price uncertainty and risk non‐neutrality," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 49(1), pages 1-21, March.
    4. Haigh, Michael S. & Bryant, Henry L., 2001. "The effect of barge and ocean freight price volatility in international grain markets," Agricultural Economics, Blackwell, vol. 25(1), pages 41-58, June.
    5. Gerrit Reher & Bernd Wilfling, 2016. "A nesting framework for Markov-switching GARCH modelling with an application to the German stock market," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 411-426, March.
    6. Pope, Rulon D. & LaFrance, Jeffrey T. & Just, Richard E., 2011. "Agricultural arbitrage and risk preferences," Journal of Econometrics, Elsevier, vol. 162(1), pages 35-43, May.
    7. Andrew McKenzie & Matthew Holt, 2002. "Market efficiency in agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 34(12), pages 1519-1532.
    8. Haigh, Michael S. & Bryant, Henry L., 2000. "Price And Price Risk Dynamics In Barge And Ocean Freight Markets And The Effects On Commodity Trading," 2000 Conference, April 17-18 2000, Chicago, Illinois 18934, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    9. He, Dequan & Holt, Matthew T., 2004. "Efficiency Of Forest Commodity Futures Markets," 2004 Annual meeting, August 1-4, Denver, CO 20344, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    10. Michael S. Haigh & Henry L. Bryant, 2000. "The effect of barge and ocean freight price volatility in international grain markets," Agricultural Economics, International Association of Agricultural Economists, vol. 25(1), pages 41-58, June.
    11. Rezitis, Anthony N. & Stavropoulos, Konstantinos S., 2010. "Modeling beef supply response and price volatility under CAP reforms: The case of Greece," Food Policy, Elsevier, vol. 35(2), pages 163-174, April.
    12. Anthony N. Rezitis & Konstantinos S. Stavropoulos, 2010. "Supply response and price volatility in the Greek broiler market," Agribusiness, John Wiley & Sons, Ltd., vol. 26(1), pages 25-48.

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