We apply the Distributional Event Response Model (DERM), which is appropriate in studying relatively slowly-evolving information events, to nineteen years of daily crude oil futures returns and volatility to analyze the pattern of market responses to selected events. The results show that all...

The behavior of agricultural commodity markets can arguably result in markedly asymmetricprice cycles, that is, downward cycles of substantially different length and breadth thanupward cycles. This study assesses whether asymmetric-cycle models can enhance the understandingof the dynamics and...

The performance of a proposed asymmetric-error GARCH model is evaluated in comparison to the normal-error- and Student-t-GARCH models through three applications involving forecasts of U.S. soybean, sorghum, and wheat prices. The applications illustrate the relative advantages of the proposed...

This study analyzes the risks of diversified tropical cropping systems that combine cocoa, plantain, and tree-crop components in different proportions versus traditional monocultures. A technique for modeling the expected values, variances, and covariances of correlated time-series variables...

The behavior of agricultural commodity markets can arguably result in markedly asymmetric price cycles, that is, downward cycles of substantially different length and breadth than upward cycles. This study assesses whether asymmetric-cycle models can enhance the understanding of the dynamics and...

In this paper we study the trade creation effects of the EU preferential trade agreements (PTAs) in the agriculture and food sectors for a large sample of developing countries in the period 1990-2006. We build upon the existing literature on trade with heterogeneous firms, by investigating the...

Using a unique dataset of maize samples and consumer interviews form Eastern Kenya, we find that the presence of the fungal contaminant aflatoxin is negatively associated with the use of maize flour for food. While food remains the most common use of maize regardless of the presence of the...

Is the relationship between energy and agricultural commodities an important factor in the increasing price variability of food commodities? Findings from the literature appear to be mixed and highly influenced by the data frequency used in those analysis. A recurrent task in time series applied...

The United States cheese consumption has grown considerably over the years. Using Nielsen Homescan panel data for calendar years 2005 and 2006, this paper examines the effect of economic and socio-demographic factors on the demand for disaggregated cheese varieties. In this study, we estimated...

We exploit variation in the timing of specialty crop insurance supply to different crops and counties in California to assess its effect on output as decomposed into yield and harvested acreage. Four woody-perennial crops and one field-annual crop are used to represent this effect. We find that...