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Forecasting Volatility in Global Food Commodity Prices

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  • Ibrahim Onour

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  • Ibrahim Onour, "undated". "Forecasting Volatility in Global Food Commodity Prices," API-Working Paper Series 1101, Arab Planning Institute - Kuwait, Information Center.
    • Handle: RePEc:api:apiwps:1101
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    File URL: http://www.arab-api.org/jodep/products/delivery/wps1101.pdf
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    References listed on IDEAS

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    1. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
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    Cited by:

    1. Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2011. "Biofuels: Review of Policies and Impacts," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt5v1112qr, Department of Agricultural & Resource Economics, UC Berkeley.
    2. Luboš Smutka & Michal Steininger & Mansoor Maitah & Eva Rosochatecká, 2013. "Development in consumer food prices on the Czech market in the context of food prices on the EU and world markets," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 61(7), pages 2737-2755.
    3. Onour, Ibrahim & Sergi, Bruno, 2011. "Global food and energy markets: volatility transmission and impulse response effects," MPRA Paper 34079, University Library of Munich, Germany.
    4. Rumankova, Lenka, . "Time Series Properties and Their Influence on the Results of Price Transmission – Case Study of the Czech Pork Market," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 4(4 Special), pages 1-13.
    5. Čermák, M. & Malec, K. & Maitah, M., 2017. "Price Volatility Modelling – Wheat: GARCH Model Application," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 9(4).
    6. Karel Janda & Ladislav Kristoufek & David Zilberman, 2011. "Modeling the Environmental and Socio-Economic Impacts of Biofuels," Working Papers IES 2011/33, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2011.
    7. Michal Čermák, 2017. "Leverage Effect and Stochastic Volatility in the Agricultural Commodity Market under the CEV Model," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(5), pages 1671-1678.
    8. Tarasov, Arthur, . "Coherent Quantitative Analysis of Risks in Agribusiness: Case of Ukraine," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 3(4), pages 1-7.
    9. Tarek Chebbi & Abdelkader Derbali, 2015. "The dynamic correlation between energy commodities and Islamic stock market: analysis and forecasting," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 8(2), pages 112-126.

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