Structural Changes in the Time Series of Food Prices and Volatility Measurement
Volatility in product prices is of considerable interest in the food and agricultural policy arena. Standard deviation (SD) type of measures, including variance and the coefficient of variation, have been commonly used for estimating realized volatility. These methods are relatively simple to calculate and focus on the width of the data. Despite these merits, they have a shortcoming in that the statistics can be amplified when the time series is nonstationary. This study suggests a new way to measure price variation. The structural breaks in the unconditional mean of a time series are determined, and then the conventional SD type of measures for each regime are calculated. This method addresses the weak point of the SD type of measure and is a competitive alternative to the conditional variance type or the trend deviation type of measures when the time series at comparison have notably different data-generating processes or have nonstationarity. Copyright 2012, Oxford University Press.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 94 (2012)
Issue (Month): 4 ()
|Contact details of provider:|| Postal: 555 East Wells Street, Suite 1100, Milwaukee, Wisconsin 53202|
Phone: (414) 918-3190
Fax: (414) 276-3349
Web page: http://www.aaea.org/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:oup:ajagec:v:94:y:2012:i:4:p:929-944. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.