JOINT MODELING AND SIMULATION OF AUTOCORRELATED NON-NORMAL TIME SERIES: AN APPLICATION TO RISK AND RETURN ANALYSIS

This study presents a technique that can jointly model and simulate the expected values, variances, and covariances of sets of correlated time-series dependent variables that are autocorrelated and non-normal (right or left skewed and/or kurtotic). It illustrates the method by applying it to risk analysis of diversified tropical agroforestry systems.

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Year of publication:	1999
Authors:	Ramirez, Octavio A. ; Somarriba, Eduardo
Institutions:	Agricultural and Applied Economics Association - AAEA
Subject:	Resource /Energy Economics and Policy \| Risk and Uncertainty

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Extent:	application/pdf
Series:	1999 Annual meeting, August 8-11, Nashville, TN.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 1999 Annual meeting, August 8-11, Nashville, TN Number 21564
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005525935