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Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach

  • Holt, Matthew T.
  • Aradhyula, Satheesh V.

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File URL: http://www.sciencedirect.com/science/article/B6VFG-3V72T2X-2/2/d6d43105b86b8dfd82f1594e301f6bfa
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 5 (1998)
Issue (Month): 2 (June)
Pages: 99-129

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Handle: RePEc:eee:empfin:v:5:y:1998:i:2:p:99-129
Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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  1. Francis X. Diebold & Marc Nerlove, 1986. "The dynamics of exchange rate volatility: a multivariate latent factor ARCH model," Special Studies Papers 205, Board of Governors of the Federal Reserve System (U.S.).
  2. Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-24, April-Jun.
  3. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
  4. Moschini, GianCarlo & Holt, Matthew, 1992. "Alternative Measures of Risk in Commodity Supply Models: An Analysis of Sow Farrowing Decisions in the United States," Staff General Research Papers 11252, Iowa State University, Department of Economics.
  5. Goodwin, Thomas H & Sheffrin, Steven M, 1982. "Testing the Rational Expectations Hypothesis in an Agricultural Market," The Review of Economics and Statistics, MIT Press, vol. 64(4), pages 658-67, November.
  6. Holt, Matthew & Aradhyula, Satheesh V., 1990. "Price Risk in Supply Equations: An Application of Garch Time-Series Models to the U.S. Broiler Market," Staff General Research Papers 276, Iowa State University, Department of Economics.
  7. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
  8. Sandmo, Agnar, 1971. "On the Theory of the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 61(1), pages 65-73, March.
  9. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  10. Phillips, Peter C B & Loretan, Mico, 1991. "Estimating Long-run Economic Equilibria," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 407-36, May.
  11. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
  12. Diebold, Francis X. & Pauly, Peter, 1988. "Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate," European Economic Review, Elsevier, vol. 32(1), pages 27-53, January.
  13. Knoeber, Charles R & Thurman, Walter N, 1994. "Testing the Theory of Tournaments: An Empirical Analysis of Broiler Production," Journal of Labor Economics, University of Chicago Press, vol. 12(2), pages 155-79, April.
  14. Stephen G. Cecchetti & Robert E. Cumby & Stephen Figlewski, 1986. "Estimation of the optimal futures hedge," Research Working Paper 86-10, Federal Reserve Bank of Kansas City.
  15. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
  16. Baillie, Richard T., 1989. "Commodity prices and aggregate inflation: Would a commodity price rule be worthwhile?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 31(1), pages 185-240, January.
  17. Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, vol. 48(1), pages 49-73, January.
  18. Kroner, Kenneth F. & Lastrapes, William D., 1993. "The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model," Journal of International Money and Finance, Elsevier, vol. 12(3), pages 298-318, June.
  19. Pozo, Susan, 1992. "Conditional Exchange-Rate Volatility and the Volume of International Trade: Evidence from the Early 1900s," The Review of Economics and Statistics, MIT Press, vol. 74(2), pages 325-29, May.
  20. Satheesh V. Aradhyula & Matthew T. Holt, 1988. "Risk Behavior and Rational Expectations in the U.S. Broiler Market," Food and Agricultural Policy Research Institute (FAPRI) Publications 88-wp33, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University.
  21. Avinash Dixit, 1992. "Investment and Hysteresis," Journal of Economic Perspectives, American Economic Association, vol. 6(1), pages 107-132, Winter.
  22. Pagan, Adrian & Ullah, Aman, 1988. "The Econometric Analysis of Models with Risk Terms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 87-105, April.
  23. Beck, Stacie E, 1993. "A Rational Expectations Model of Time Varying Risk Premia in Commodities Futures Markets: Theory and Evidence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(1), pages 149-68, February.
  24. Huntzinger, R. La Var, 1979. "Market analysis with rational expectations : Theory and estimation," Journal of Econometrics, Elsevier, vol. 10(2), pages 127-145, June.
  25. Antle, John M, 1983. "Testing the Stochastic Structure of Production: A Flexible Moment-based Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(3), pages 192-201, July.
  26. Baillie, R.T., 1989. "Commodity Prices And Aggregate Inflation: Would A Commodity Price Rule Be Worthwhile?," Papers 8808, Michigan State - Econometrics and Economic Theory.
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