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paper investigates the volatility of prices received by pig producers after the FMD focus were found. Using a GARCH model …, including a variable indicating FMD events, we cannot reject the hypothesis that the disease caused high pork price volatility … volatility, which brings about instability to businesses and to pig producers income. …
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Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...
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is still subject to the strong variations from the physical market. Thus, the central analysis dealt with the volatility …
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