Many risk management strategies, including hedging the price risk using forward or futures contracts require accurate forecasts of basis, i.e., spot price minus the futures price. Recent literature in this area has applied nonlinear time-series models, which are refinements of the linear...

Replaced with revised version of paper 06/30/04.

In this research we estimate the effect of El Nino Southern Oscillation (ENSO) over time on market dynamics for eight major vegetable oil prices. We estimate a system for vegetable oil prices by using a smooth transition vector error correction model (STVECM) to analyze impacts of ENSO events on...

In this paper we introduce inverse demand systems that include quadratic scale terms. These systems are similar to regular quadratic demand systems introduced by Howe, Pollack, and Wales. A unique feature of these specifications is that they maintain linear scale curves as a special case. For...

In recent years the theoretical restrictions of consumer demand have been examined in post sample forecasting exercises. However, this work has uniformly ignored the concavity restrictions of consumer demand. In this paper we evaluate a series of Normalized Quadratic Inverse Demand System...

The impact of violent conflict on the state of the economy has been studied extensively since the two recent decades. In most studies the state of the economy is operationalized by stock market indices of the respective countries. In this paper we suggest investigating the impact of violent...

An extensive empirical literature addressing the behavior of prices over time and across spatially distinct markets has grown substantially over time. A fundamental axiom of economics|the Law of One Price"|underlies the arbi- trage behavior thought to characterize such relationships. This...

A variety of crop revenue insurance programs is now available. These programs require measurement of price risk. This article investigates the appropriateness of distributional assumptions underlying current and proposed alternative actuarial methods. Our results find that prices are best...