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Price thresholds, price volatility, and the private costs of investment in a developing country grain market

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  • Shively, Gerald E.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 18 (2001)
Issue (Month): 3 (August)
Pages: 399-414

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Handle: RePEc:eee:ecmode:v:18:y:2001:i:3:p:399-414

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Web page: http://www.elsevier.com/locate/inca/30411

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Gerald E. Shively, 1996. "Food Price Variability and Economic Reform: An ARCH Approach for Ghana," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(1), pages 126-136.
  2. Kim, C-J., 1991. "Dynamic Linear Models with Markov-Switching," Papers 91-8, York (Canada) - Department of Economics.
  3. Alderman, Harold, 1993. "Intercommodity Price Transmittal: Analysis of Food Markets in Ghana," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(1), pages 43-64, February.
  4. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
  5. Christopher Barrett, 1997. "Heteroscedastic price forecasting for food security management in developing countries," Oxford Development Studies, Taylor & Francis Journals, vol. 25(2), pages 225-236.
  6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  7. Samuelson, Paul A, 1972. "The Consumer Does Benefit From Feasible Price Stability: Rejoinder," The Quarterly Journal of Economics, MIT Press, vol. 86(3), pages 500-503, August.
  8. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
  9. Pindyck, Robert S, 1991. "Irreversibility, Uncertainty, and Investment," Journal of Economic Literature, American Economic Association, vol. 29(3), pages 1110-48, September.
  10. Michael G. Papaioannou & Tugrul Temel, 1993. "Portfolio Performance of the SDR and Reserve Currencies: Tests Using the ARCH Methodology," IMF Staff Papers, Palgrave Macmillan, vol. 40(3), pages 663-679, September.
  11. Samuelson, Paul A, 1976. "Is Real-World Price a Tale Told by the Idiot of Chance?," The Review of Economics and Statistics, MIT Press, vol. 58(1), pages 120-23, February.
  12. Samuelson, Paul A, 1972. "The Consumer Does Benefit From Feasible Price Stability," The Quarterly Journal of Economics, MIT Press, vol. 86(3), pages 476-93, August.
  13. Duncan, Alex & Jones, Stephen, 1993. "Agricultural marketing and pricing reform: A review of experience," World Development, Elsevier, vol. 21(9), pages 1495-1514, September.
  14. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  15. Tugrul Temel & Michael G. Papaioannou, 1993. "Portfolio Performance of the SDR and Reserve Currencies," IMF Working Papers 93/10, International Monetary Fund.
  16. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
  17. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  18. Abel, Andrew B, 1983. "Optimal Investment under Uncertainty," American Economic Review, American Economic Association, vol. 73(1), pages 228-33, March.
  19. Alderman, Harold & Shively, Gerald, 1996. "Economic reform and food prices: Evidence from markets in Ghana," World Development, Elsevier, vol. 24(3), pages 521-534, March.
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Cited by:
  1. Chang, C-L. & Huang, B-W. & Chen, M-G., 2010. "Modelling the Asymmetric Volatility in Hog Prices in Taiwan," Econometric Institute Research Papers EI 2010-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Chang, Chia-Lin & Huang, Biing-Wen & Chen, Meng-Gu & McAleer, Michael, 2011. "Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1491-1506.
  3. Huang, Biing-Wen & Chen, Meng-Gu & Chang, Chia-Lin & McAleer, Michael, 2009. "Modelling risk in agricultural finance: Application to the poultry industry in Taiwan," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1472-1487.

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