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Modelling Risk Response in the Marketing Channel for Beef: A Multivariate Generalize Arch-M Approach

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  • Holt, Matthew T.

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  • Holt, Matthew T., 1992. "Modelling Risk Response in the Marketing Channel for Beef: A Multivariate Generalize Arch-M Approach," Staff Papers 200546, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
    • Handle: RePEc:ags:wisagr:200546
    DOI: 10.22004/ag.econ.200546
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    References listed on IDEAS

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    1. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
    2. Satheesh V. Aradhyula & Matthew T. Holt, 1989. "Risk Behavior and Rational Expectations in the U.S. Broiler Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(4), pages 892-902.
    3. Bruce L. Gardner, 1975. "The Farm-Retail Price Spread in a Competitive Food Industry," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 57(3), pages 399-409.
    4. B. Wade Brorsen & Jean-Paul Chavas & Warren R. Grant, 1987. "A Market Equilibrium Analysis of the Impact of Risk on the U.S. Rice Industry," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 69(4), pages 733-739.
    5. Richard E. Just, 1974. "An Investigation of the Importance of Risk in Farmers' Decisions," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 56(1), pages 14-25.
    6. Jean-Paul Chavas & Matthew T. Holt, 1990. "Acreage Decisions Under Risk: The Case of Corn and Soybeans," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(3), pages 529-538.
    7. Jarvis, Lovell S, 1974. "Cattle as Capital Goods and Ranchers as Portfolio Managers: An Application to the Argentine Cattle Sector," Journal of Political Economy, University of Chicago Press, vol. 82(3), pages 489-520, May/June.
    8. 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.
    9. 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.
    10. Hoffman, Dennis L, 1991. "Two-Step and Related Estimators in Contemporary Rational-Expectations Models: An Analysis of Small-Sample Properties," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(1), pages 51-61, January.
    11. Dale M. Heien, 1980. "Markup Pricing in a Dynamic Model of the Food Industry," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 62(1), pages 10-18.
    12. Hayenga, Marvin L. & Schrader, Lee F., 1980. "Formula Pricing in Five Commodity Marketing Systems," Staff General Research Papers Archive 11303, Iowa State University, Department of Economics.
    13. 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.
    14. John Schroeter & Azzeddine Azzam, 1991. "Marketing Margins, Market Power, and Price Uncertainty," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(4), pages 990-999.
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    16. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    17. Rulon D. Pope, 1982. "Empirical Estimation and Use of Risk Preferences: An Appraisal of Estimation Methods That Use Actual Economic Decisions," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 64(2), pages 376-383.
    18. 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.
    19. Frances Antonovitz & Richard Green, 1990. "Alternative Estimates of Fed Beef Supply Response to Risk," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(2), pages 475-487.
    20. Michael K. Wohlgenant, 1989. "Demand for Farm Output in a Complete System of Demand Functions," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(2), pages 241-252.
    21. B. Wade Brorsen & Jean-Paul Chavas & Warren R. Grant & L. D. Schnake, 1985. "Marketing Margins and Price Uncertainty: The Case of the U.S. Wheat Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 67(3), pages 521-528.
    22. Baron, David P, 1970. "Price Uncertainty, Utility, and Industry Equilibrium in Pure Competition," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(3), pages 463-480, October.
    23. Marvin L. Hayenga & Lee F. Schrader, 1980. "Formula Pricing in Five Commodity Marketing Systems," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 62(4), pages 753-759.
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