Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models
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DOI: 10.22004/ag.econ.30714
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Cited by:
- Bekkerman, Anton & Pelletier, Denis, 2009. "Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49281, Agricultural and Applied Economics Association.
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05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," NBER Working Papers 11188, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
- Ramirez, Octavio A. & Mohanty, Samarendu & Carpio, Carlos E. & Denning, Megan, 2004.
"Issues and Strategies for Aggregate Supply Response Estimation for Policy Analyses,"
Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 36(2), pages 1-17, August.
- Ramirez, Octavio A. & Mohanty, Samarendu & Carpio, Carlos E. & Denning, Megan, 2004. "Issues and Strategies for Aggregate Supply Response Estimation for Policy Analyses," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 36(2), pages 351-367, August.
- Tiago Silveira Gontijo & Alexandre de C ssio Rodrigues & Cristiana Fernandes De Muylder & Jefferson Lopes la Falce & Thiago Henrique Martins Pereira, 2020. "Analysis of Olive Oil Market Volatility using the ARCH and GARCH techniques," International Journal of Energy Economics and Policy, Econjournals, vol. 10(3), pages 423-428.
- Jesus Crespo Cuaresma & Jaroslava Hlouskova & Michael Obersteiner, 2021. "Agricultural commodity price dynamics and their determinants: A comprehensive econometric approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1245-1273, November.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
- Jean Pierre Fernández Prada Saucedo & Gabriel Rodríguez, 2020. "Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models," Documentos de Trabajo / Working Papers 2020-484, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Tao XIONG & Chongguang LI & Yukun BAO, 2017. "An improved EEMD-based hybrid approach for the short-term forecasting of hog price in China," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 63(3), pages 136-148.
- Kyriazi, Foteini & Thomakos, Dimitrios D. & Guerard, John B., 2019. "Adaptive learning forecasting, with applications in forecasting agricultural prices," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1356-1369.
- Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova & Michael Obersteiner, 2024.
"Regime‐dependent commodity price dynamics: A predictive analysis,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2822-2847, November.
- Crespo-Cuaresma, Jesus & Fortin, Ines & Hlouskova, Jaroslava & Obersteiner, Michael, 2021. "Regime-dependent commodity price dynamics: A predictive analysis," IHS Working Paper Series 28, Institute for Advanced Studies.
- Fathi Abid & Bilel Kaffel, 2018. "The extent of virgin olive-oil prices’ distribution revealing the behavior of market speculators," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 561-590, February.
- Benz, Eva & Trück, Stefan, 2009. "Modeling the price dynamics of CO2 emission allowances," Energy Economics, Elsevier, vol. 31(1), pages 4-15, January.
- Wetzstein, Brian & Florax, Raymond & Foster, Kenneth & Binkley, James, 2021. "Transportation costs: Mississippi River barge rates," Journal of Commodity Markets, Elsevier, vol. 21(C).
- Amer Ait Sidhoum & Teresa Serra, 2016. "Volatility Spillovers in the Spanish Food Marketing Chain: The Case of Tomato," Agribusiness, John Wiley & Sons, Ltd., vol. 32(1), pages 45-63, January.
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