To explain the value added along the coffee commodity chain we propose and estimate a theoretical model of the coffee commodity chain. The theoretical model consists of four markets and five agents in the coffee commodity chain and predicts that prices in the coffee commodity chain move together...

This study proposes a new approach to the estimation of daily volatility in financial markets. To do this we evaluate a number of traditional estimators of daily volatility based upon intra-day data and propose a new estimator of daily volatility based upon intra-day data which is both unbiased...

This study proposes a new approach to the estimation of daily volatility in financial markets. To do this we evaluate a number of traditional estimators of daily volatility based upon intra-day data and propose a new estimator of daily volatility based upon intra-day data which is both unbiased...

In the international edible oil markets, there is believed to be high substitutability between vegetable oils and fats produced under different conditions. In light of this, we consider the question: what is the nature of the long‐run relationships between vegetable oil prices? Long‐run...

This paper presents the results of an alternative test of the rational expectations theory of the term structure of interest rates. Other researchers have also examined the validity of the expectations hypothesis of term structure. While there is more often rejection of the expectations...

Whether or not shocks persist has important implications in economics. An empirical study investigates this issue for key Australian and U.S. macroeconomic time series. The existence of persistence is investigated by unit root tests and its magnitude estimated by recently proposed techniques....