Purpose – The purpose of this research is to develop a composite agribusiness stock index and then compare the returns and volatility to other broad‐based market indices. The paper then evaluates the diversification potential of agribusiness stocks in the context of an investment portfolio....

The Environmental Kuznets Curve (EKC) on water pollution was investigated with both semiparametric and parametric models using watershed level data for the state of Louisiana, USA. The parametric model indicated the turning points within the range $10241–$12993, $6636–$13877, and...

Purpose – The purpose of this research is to develop a composite agribusiness stock index and then compare the returns and volatility to other broad-based market indices. The paper then evaluates the diversification potential of agribusiness stocks in the context of an investment portfolio....

The 30th Volume of Advances in Econometrics is in honor of the two individuals whose hard work has helped ensure thirty succesful years of the series, Thomas Fomby and R. Carter Hill. This volume began with a history of the Advances series by Asli Ogunc and Randall Campbell summarizing the prior...

Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao. In the first few chapters of this book, new theoretical panel and time series results are presented, exploring JIVE...

Realized beta : persistence and predictability / Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Ginger Wu -- Boosting-based frameworks in financial modeling : application to symbolic volatility forecasting / Valeriy V. Gavrishchaka -- Overlaying time scales in financial volatility data...

A multivariate heavy-tailed distribution for ARCH/GARCH residuals / Dimitris N. Politis -- A portmanteau test for multivariate GARCH when the conditional mean is an ECM : theory and empirical applications / Chor-yiu Sin -- Sampling frequency and window length trade-offs in data-driven volatility...