Salmon price volatility: A weight-class-specific multivariate approach

Bloznelis, Daumantas

doi:10.1080/13657305.2016.1124936

Cited by 43 publications

(18 citation statements)

References 23 publications

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“…If then the value will be infinity, meaning the existence of the gap for an infinitely long time periods. In other words conditional mean will not revert to its long term mean [Bloznelis (2016)].…”

Section: Methodsmentioning

confidence: 99%

Spatial Differences in Rice Price Volatility: A Case Study of Pakistan 1994–2011

Ahmad¹,

Gjølberg²,

Mehdi³

2022

pdr

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Prices of agricultural commodities tend to be more volatile in comparison to other commodities. Volatility can result in inefficient allocation of the resources by the farmers, traders and consumers. Rice is the second major staple and export item of Pakistan. This study presents the trends in volatility of regional rice markets of Pakistan and analyses spatial differences in volatility across regional rice markets in Pakistan from 1994 to 2011, and also draws comparison of volatility with the international market. ARCH-LM tests are applied to check the presence of volatility and volatility clustering is found in all the markets. Tests for equality of variance and dynamic conditional correlations (DCC) GARCH model are employed to analyse the spatial differences across the regional rice markets of Pakistan. The results indicate the presence of spatial differences in volatility. Positive conditional correlations in the dynamic conditional correlations (DCC) GARCH model are found which indicate positive association of volatility across markets. Spatial differences in volatility and its persistence reflect the differences in market forces, infrastructure and information flow which leads to varying degree of risk across markets and some regions are exposed to higher risk. The study found out that Hyderabad and Sukkur are the most volatile markets and their volatility levels are highly persistent and require highest time to return to its long-term mean which makes them the riskiest rice markets. Investments in infrastructure, particularly in transportation and controlling the market power of middlemen may reduce price risk across markets particularly in the most risky markets. JEL Classification: C22, C32, Q11, Q13, Q18 Keywords: Rice Prices Volatility, Regional Markets, Pakistan. DCC-GARCH-models

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Section: Methodsmentioning

confidence: 99%

Spatial Differences in Rice Price Volatility: A Case Study of Pakistan 1994–2011

Ahmad¹,

Gjølberg²,

Mehdi³

2022

pdr

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“…En betydelig del av omsetningen av laks skjer på kontrakt, noe som påvirker volatiliteten (Oglend, 2013). Lakseprisvolatiliteten er betydelig 24 , og har vaert kraftig økende de siste 10 årene (Oglend, 2013;Bloznelis, 2016;Misund, 2018a). Økende kontraktshandel vil redusere volumer i spotmarkedet, noe som øke usikkerheten i spotprisestimatene (Oglend, 2013).…”

Section: Oppsummerende Kommentarerunclassified

Delrapport 3 – Skattesone – Kontrollkostnader, næringsstruktur og muligheter for skattetilpasning

Misund¹,

Osmundsen²,

Tveterås³

et al. 2020

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“…Nylig dokumenterte Song (2013;2014) at virkelig verdi blir priset til en rabatt når volatiliteten i markedene er høy. Flere studier av lakseprisen finner relativt høy volatilitet (Oglend & Sikveland, 2008;Solibakke, 2012;Oglend, 2013;Dahl & Oglend, 2014;Asche, Dahl & Steen, 2015;Bloznelis, 2016). Siden lakseprisen driver variasjonen i driftsresultatet (Asche & Sikveland, 2015), er det trolig at også resultat etter skatt varierer mye med lakseprisen også.…”

Section: Litteratur Og Hypoteseutviklingunclassified

Verdirelevansen av å rapportere biologiske eiendeler til virkelig verdi - En studie av norske lakseoppdrettselskaper

Misund¹

2016

PØF

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Salmon price volatility: A weight-class-specific multivariate approach

Cited by 43 publications

References 23 publications

Spatial Differences in Rice Price Volatility: A Case Study of Pakistan 1994–2011

Spatial Differences in Rice Price Volatility: A Case Study of Pakistan 1994–2011

Delrapport 3 – Skattesone – Kontrollkostnader, næringsstruktur og muligheter for skattetilpasning

Verdirelevansen av å rapportere biologiske eiendeler til virkelig verdi - En studie av norske lakseoppdrettselskaper

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