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The impact of stock, energy and foreign exchange markets on the sugar market

Sariannidis, Nikolaos - In: International journal of economic sciences and applied … 3 (2010) 1, pp. 109-117

This study examines the effect of financial factors on the sugar market by using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. The results show that changes in capital and energy markets returns have a positive impact on the mean returns of Sugar futures as opposed to...

Persistent link: https://www.econbiz.de/10009958046

Determining the probability of default of agricultural loans in a French bank

Jouault, Amelie; Featherstone, Allen M. - In: Journal of applied finance & banking 1 (2011) 1, pp. 1-30

Recently, financial institutions have developed improved internal risk rating systems and emphasized the probability of default and loss given default. The default characteristics are studied for 756 loans from a French bank: CIC- Banque SNVB. A binomial logit regression is used to estimate...

Persistent link: https://www.econbiz.de/10009958485

Efficiency measurement in Greek dairy farms : stochastic frontier vs. data envelopment analysis

Theodoridis, A. M.; Psychoudakis, A. - In: International journal of economic sciences and applied … 1 (2008) 2, pp. 53-66

Analysis (DEA) have become very popular in the analysis of productive efficiency. This paper undertakes a comparison of the SFA and the constant returns to scale (CRS) and variable returns to scale (VRS) output-oriented DEA models, based on a sample of 165 dairy farms in Greece. However, the aim...

Persistent link: https://www.econbiz.de/10009958029

Incertidumbre hídrica y prima de riesgo en la agricultura de la cuenca del Segura

Tobarra González, Miguel Ángel; Castro Valdivia, Juan … - In: Atlantic review of economics 2 (2011), pp. 1-17

In this article, premium risk concept is used to value the cost of water uncertainty for a risk adverse farmer in the Segura Basin. The obtained estimation would proportionate the increment in the willingness to pay for a more secure resource. This calculus can be taken into account by...

Persistent link: https://www.econbiz.de/10010049030

The influence of size on cost behaviour associated with tactical and operational flexibility

Argilés Bosch, Josep Maria; Blandón, Josep García - In: Estudios de economía 38 (2011) 2, pp. 419-455

This paper contributes with an empirical analysis, using a sample of farms, on the influence of size on cost behaviour under operational and tactical flexibility. Results indicate that small farms behave advantageously with respect to biggest farms in situations of operational and tactical...

Persistent link: https://www.econbiz.de/10010049043

The power of the “objective” Bayesian unit-root test

Ahking, Francis W. - In: The open economics journal 2 (2009), pp. 71-79

Some researchers, for example, Koop [1], and Sims [2], have advocated for Bayesian alternatives to unit-root testing over the classical approach using the augmented Dickey-Fuller test (ADF). This paper studies the power of what Koop [1] has called the Objectiveʺ Bayesian approach to unit-root...

Persistent link: https://www.econbiz.de/10010080118

Hedging Italian equity mutual fund returns during the recent financial turmoil : a duration-dependent Markov-switching approach

Zagaglia, Paolo - In: Journal of applied finance & banking 3 (2013) 3, pp. 325-337

We study optimal hedging design for returns on an Italian equity mutual fund index since 2008. Alternative hedging … mutual fund index and each hedging instrument to investigate the performance of optimal static hedges. Our main model is the …]. The hedging performance is then compare with that of standard Dynamic Conditional Correlation models. Our results are …

Persistent link: https://www.econbiz.de/10010148077

Forecasting movement of the Nigerian Stock Exchange All Share index using artificial neural and Bayesian networks

Bola, Adetunji Abigail; Adesola, Aderounmu Ganiyu; … - In: Journal of finance and investment analysis 2 (2013) 1, pp. 41-59

This paper presents a study of Artificial Neural Network (ANN) and Bayesian Network (BN) for use in stock index prediction. The data from Nigerian Stock Exchange (NSE) market are applied as a case study. Based on the rescaled range analysis, the neural network was used to capture the...

Persistent link: https://www.econbiz.de/10010148286

A parametric measure of productivity change from hyperbolic distance function : application to the Vietnamese banking industry

Vu, Ha; Turnell, Sean - In: Journal of applied finance & banking 2 (2012) 5, pp. 63-96

This paper introduces a new parametric measure of productivity change using the hyperbolic distance function. More specifically, the paper first estimates a stochastic translog hyperbolic distance function, which satisfies regularity conditions, using the Bayesian approach. Then it derives an...

Persistent link: https://www.econbiz.de/10010058696

A hierarchical bayesian analysis of horse racing

Silverman, Noah - In: The journal of prediction markets 6 (2012) 3, pp. 1-13

Persistent link: https://www.econbiz.de/10010147654

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