The purpose of this paper is to provide a specific test of Boucher, Carter et al.(2008) framework on risk rationing. The data were collected through a survey of 730farm households in Shaanxi province conducted in November 2010. We comparefactor associated with risk rationed, quantity rationed...

Long memory, and more precisely fractionally integration, has been put forward as an explanation for the persistence of shocks in a number of economic time series data as well as to reconcile misleading findings of unit roots in data that should be stationary. Recent evidence suggests that long...

This paper explores the problem of pricing an option on the cash commodity in Canadian dollars when the commodity is priced relative to a U.S. futures market. A general options pricing model is developed that separates out the value of a quantos risk and basis risk. The paper uses daily data for...

In 1984, the Jersey Fresh program was implemented by the New Jersey Department of Agriculture and was the first state-funded marketing campaign for agricultural products produced in New Jersey. In an effort to spur demand for New Jersey farm products, this program was designed to increase...

This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are conducted. The analyses are conducted under the...

This paper presents a model and framework for pricing degree-day weather derivatives when the weather variable is a non-traded asset. Using daily weather data from 1840-1996 it is shown that a degree-day weather index exhibits stable volatility and satisfies the random walk hypothesis. The paper...

This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are conducted. The analyses are conducted under the...

Replaced with revised version of paper 07/21/10.

The purpose of this paper is to provide a specific test of Boucher, Carter et al. (2008) framework on risk rationing. The data were collected through a survey of 730 farm households in Shaanxi province conducted in November 2010. We compare factor associated with risk rationed, quantity rationed...

Long memory, and more precisely fractionally integration, has been put forward as an explanation for the persistence of shocks in a number of economic time series data as well as to reconcile misleading findings of unit roots in data that should be stationary. Recent evidence suggests that long...