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Extreme Events and Serial Dependence in Commodity Prices

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  • Park, Eunchun
  • Maples, Josh

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Suggested Citation

  • Park, Eunchun & Maples, Josh, 2018. "Extreme Events and Serial Dependence in Commodity Prices," 2018 Annual Meeting, August 5-7, Washington, D.C. 274469, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea18:274469
    DOI: 10.22004/ag.econ.274469
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    References listed on IDEAS

    as
    1. Martin Schlather, 2003. "A dependence measure for multivariate and spatial extreme values: Properties and inference," Biometrika, Biometrika Trust, vol. 90(1), pages 139-156, March.
    2. Tim Krehbiel & Lee C. Adkins, 2005. "Price risk in the NYMEX energy complex: An extreme value approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(4), pages 309-337, April.
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    Cited by:

    1. Jittima Singvejsakul & Chukiat Chaiboonsri & Songsak Sriboonchitta, 2021. "The Optimization of Bayesian Extreme Value: Empirical Evidence for the Agricultural Commodities in the US," Economies, MDPI, vol. 9(1), pages 1-10, March.

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    Keywords

    Risk and Uncertainty; Ag Finance and Farm Management; Research Methods/Econometrics/Stats;
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