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The welfare impacts of commodity price volatility : evidence from rural Ethiopia
Bellemare, Marc F.; Barrett, Christoher B.; Just, David - In: American journal of agricultural economics 95 (2013) 4, pp. 900-916
Persistent link: https://www.econbiz.de/10010203446
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Aspects of demand-side oriented insurance of volatile food prices in developing and emerging countries
Hochscherf, Julian - 2018
Persistent link: https://www.econbiz.de/10012182919
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Sensitivity analysis of a risk classification model for food price volatility
Laryea, Rueben; Carling, Kenneth; Cialani, Catia; … - In: International journal of risk assessment and management … 21 (2018) 4, pp. 374-382
Persistent link: https://www.econbiz.de/10012005477
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Price thresholds, price volatility, and the private costs of investment in a developing country grain market
Shively, Gerald E. - In: Economic modelling 18 (2001) 3, pp. 399-414
Persistent link: https://www.econbiz.de/10001592782
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The microeconomics of agricultural price risk
Boyd, Chris M.; Bellemare, Marc F. - In: Annual review of resource economics 12 (2020), pp. 149-169
Persistent link: https://www.econbiz.de/10012404666
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Risk-adjusted time series momentum
Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014
based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …
Persistent link: https://www.econbiz.de/10011293745
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Tail risk and long memory in financial markets
Nguyen, Duc Binh Benno - 2018
Persistent link: https://www.econbiz.de/10012173996
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Correlated idiosyncratic volatility shocks
Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764