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Price Risk in Supply Equations: An Application of Garch Time-Series Models to the U.S. Broiler Market

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  • Holt, Matthew
  • Aradhyula, Satheesh V.

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Bibliographic Info

Paper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 276.

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Date of creation: 01 Jul 1990
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Publication status: Published in Southern Economic Journal, July 1990, vol. 57 no. 1, pp. 230-242
Handle: RePEc:isu:genres:276

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Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
Phone: +1 515.294.6741
Fax: +1 515.294.0221
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Web page: http://www.econ.iastate.edu
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Cited by:
  1. Holt, Matthew T. & Moschini, GianCarlo, 1992. "Alternative Measures Of Risk In Commodity Supply Models: An Analysis Of Sow Farrowing Decisions In The United States," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, Western Agricultural Economics Association, vol. 17(01), July.
  2. Jumah, Adusei & Kunst, Robert M., 1999. "The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa," Economics Series, Institute for Advanced Studies 73, Institute for Advanced Studies.
  3. Anthony N. Rezitis & Konstantinos S. Stavropoulos, 2010. "Supply response and price volatility in the Greek broiler market," Agribusiness, John Wiley & Sons, Ltd., vol. 26(1), pages 25-48.
  4. Mbaga, Msafiri Daudi & Coyle, Barry T., 2003. "Beef Supply Response Under Uncertainty: An Autoregressive Distributed Lag Model," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, Western Agricultural Economics Association, vol. 28(03), December.
  5. Pérez Rodríguez, Jorge V. & Murillo Fort, Carlos, 1997. "Contrastes de especificación para los modelos de varianza Heterocedástica condicionada," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 7, pages 101-129, Junio.
  6. Bullock, David S. & Garcia, Philip & Shin, Kie-Yup, 2005. "Measuring producer welfare under output price uncertainty and risk non-neutrality," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, Australian Agricultural and Resource Economics Society, vol. 49(1), March.
  7. Jacinto F. Fabiosa, 2002. "Assessing the Impact of the Exchange Rate and Its Volatility on Canadian Pork and Live Swine Exports to the United States and Japan," Food and Agricultural Policy Research Institute (FAPRI) Publications, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University 02-wp305, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University.
  8. Jacinto F. Fabiosa, 2002. "Assessing the Impact of the Exchange Rate and Its Volatility on Canadian Pork and Live Swine Exports to the United States and Japan," Center for Agricultural and Rural Development (CARD) Publications 02-wp305, Center for Agricultural and Rural Development (CARD) at Iowa State University.
  9. 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, Elsevier, vol. 79(5), pages 1472-1487.
  10. Rezitis, Anthony N. & Stavropoulos, Konstantinos S., 2010. "Modeling beef supply response and price volatility under CAP reforms: The case of Greece," Food Policy, Elsevier, Elsevier, vol. 35(2), pages 163-174, April.
  11. Walter C. Labys, 2003. "New Directions in the Modeling and Forecasting of Commodity Markets," Mondes en développement, De Boeck Université, De Boeck Université, vol. 122(2), pages 3-19.
  12. Matthew T. Holt & Andrew M. McKenzie, 2003. "Quasi-rational and ex ante price expectations in commodity supply models: an empirical analysis of the US broiler market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(4), pages 407-426.
  13. Jumah, Adusei & Kunst, Robert M., 2001. "The Effects of Exchange-Rate Exposures on Equity Asset Markets," Economics Series, Institute for Advanced Studies 94, Institute for Advanced Studies.
  14. Holt, Matthew T. & Aradhyula, Satheesh V., 1998. "Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 5(2), pages 99-129, June.
  15. Coble, Keith H. & Barnett, Barry J., 1999. "The Role Of Research In Producer Risk Management," Professional Papers, Mississippi State University, Department of Agricultural Economics 15803, Mississippi State University, Department of Agricultural Economics.

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