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Feasibility of derivatives for monkfish in France: a dependence analysis using the empirical copula

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  • Nicolas Rautureau
  • Zahra El Houakmi-Royer
  • Yves Perraudeau

Abstract

Financial derivatives have long been used to achieve price risk management in agriculture, but, up to this point, little has been done in the seafood sector. One difficulty stems from the lack of product homogeneity, so we evaluate the possibility of building representative price indices. This is an essential step due to the absence of such indices and hedging instruments in France. We conduct a statistical analysis of the daily French monkfish market between 1994 and 2006. Empirical copula is used in relation to the basis risk to handle the dependence between the different sizes. Oxford University Press and Foundation for the European Review of Agricultural Economics 2010; all rights reserved. For permissions, please email journals.permissions@oxfordjournals.org, Oxford University Press.

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  • Nicolas Rautureau & Zahra El Houakmi-Royer & Yves Perraudeau, 2010. "Feasibility of derivatives for monkfish in France: a dependence analysis using the empirical copula," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 37(2), pages 209-229, June.
    • Handle: RePEc:oup:erevae:v:37:y:2010:i:2:p:209-229
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    File URL: http://hdl.handle.net/10.1093/erae/jbq010
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