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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.
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
Extent:
application/pdf
Series:
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:
Persistent link: https://www.econbiz.de/10005525935
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