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Risk Analysis Under Correlated, Non-Normal Price And Yield Probability Distributions

Author

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  • Ramirez, Octavio A.
  • Sosa, Romeo

Abstract

Recently developed techniques are combined for modeling mutually correlated crop yields and prices that exhibit heteroscedasticity and autocorrelation, respectively, and follow non-normal probability density functions (pdf's). The importance rigorously modeling these pdf's for financial risk analysis is illustrated through a case study of tropical agroforestry systems for coffee production.

Suggested Citation

  • Ramirez, Octavio A. & Sosa, Romeo, 2000. "Risk Analysis Under Correlated, Non-Normal Price And Yield Probability Distributions," 2000 Annual meeting, July 30-August 2, Tampa, FL 21888, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  • Handle: RePEc:ags:aaea00:21888
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    File URL: http://purl.umn.edu/21888
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    References listed on IDEAS

    as
    1. Meyer, Jack, 1977. "Choice among distributions," Journal of Economic Theory, Elsevier, vol. 14(2), pages 326-336, April.
    2. Anderson, Jock R., 1974. "Simulation: Methodology and Application in Agricultural Economics," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 42(01), March.
    3. Bruce A. Babcock & David A. Hennessy, 1996. "Input Demand under Yield and Revenue Insurance," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(2), pages 416-427.
    4. McDonald, James B., 1989. "Partially adaptive estimation of ARMA time series models," International Journal of Forecasting, Elsevier, vol. 5(2), pages 217-230.
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