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Dependence in Spikes of Energy and Agricultural Prices

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  • Ramsey, Ford

Abstract

Using elements of extreme value theory, I develop a Bayesian modeling approach that is capable of capturing the extremal dependence structures characterizing energy and agricultural prices. This approach is based on asymptotic arguments that hold for many underlying distributions of prices. Positive and negative movements of prices are considered separately which allows for asymmetry. Because the model is applied only to returns designated as extreme, inference does not depend on observations in the main body of the distribution. This is appealing because there is no reason to suspect a priori that the processes generating non--extreme and extreme observations are similar.

Suggested Citation

  • Ramsey, Ford, 2015. "Dependence in Spikes of Energy and Agricultural Prices," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205120, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea15:205120
    DOI: 10.22004/ag.econ.205120
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    References listed on IDEAS

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    1. François Longin & Bruno Solnik, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
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    Keywords

    Demand and Price Analysis; Research Methods/ Statistical Methods; Resource/Energy Economics and Policy;
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