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Do farmers hedge optimally or by habit? : a Bayesian partial-adjustment model of farmer hedging
Dorfman, Jeffrey H.; Karali, Berna - In: Journal of agricultural and applied economics 42 (2010) 4, pp. 791-803
Persistent link: https://www.econbiz.de/10009375852
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999
disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …
Persistent link: https://www.econbiz.de/10011302131
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2001
densities) areinvestigated in relation to the hedging strategies. Consequently, we can make adistinctionbetween statistical …
Persistent link: https://www.econbiz.de/10011313921
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Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets
Billio, Monica - 2015
A new Bayesian multi-chain Markov Switching GARCH model for dynamic hedging in energy futures markets is developed by … different hedging components. Our formulation also provides an avenue to analyze the contribution of the volatility dynamics and … framework with regime-switching models allows the definition of a robust minimum variance hedging strategy to also account for …
Persistent link: https://www.econbiz.de/10013033418
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A Bayesian zero-one inflated beta modeling of dairy farmers’ decision to sell nothing or some output through contract farming
Ng'ombe, John N.; Kabwela, Benny; Kiwanuka-Lubinda, … - In: Q open : a journal of agricultural, climate, … 2 (2022) 1, pp. 1-23
Smallholder farmers’ preferences for participation in contract farming may take the form of proportional data …-whereby farmers only sell some proportions or fractions of their output to contractors. We analyze determinants for preferences for … zero (potential corner solution) and proportional amounts of milk that farmers sell through contract farming, using dairy …
Persistent link: https://www.econbiz.de/10013328283
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Closing the gaps in experimental and observational crop response estimates : a bayesian approach
Mkondiwa, Maxwell; Hurley, Terrance M.; Pardey, Philip G. - In: Q open : a journal of agricultural, climate, … 4 (2024) 2, pp. 1-26
A stylized fact of African agriculture is that crop responses to inorganic fertilizer application derived from experimental studies are often substantially greater than those from observational studies (e.g. surveys and administrative data). Recent debates on relative costs and benefits of...
Persistent link: https://www.econbiz.de/10015374750
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Evolutionary sequential Monte Carlo samplers for change-point models
Dufays, Arnaud - In: Econometrics : open access journal 4 (2016) 1, pp. 1-33
Sequential Monte Carlo (SMC) methods are widely used for non-linear filtering purposes. However, the SMC scope encompasses wider applications such as estimating static model parameters so much that it is becoming a serious alternative to Markov-Chain Monte-Carlo (MCMC) methods. Not only do SMC...
Persistent link: https://www.econbiz.de/10011504888
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A Bayesian dynamic compositional model for large density combinations in finance
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2021
A Bayesian dynamic compositional model is introduced that can deal with combining a large set of predictive densities. It extends the mixture of experts and the smoothly mixing regression models by allowing for combination weight dependence across models and time. A compositional model with...
Persistent link: https://www.econbiz.de/10012431874
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A flexible predictive density combination model for large financial data sets in regular and crisis periods
Casarin, Roberto; Ravazollo, Francesco; Grassi, Stefano; … - 2022
A flexible predictive density combination model is introduced for large financial data sets which allows for dynamic weight learning and model set incompleteness. Dimension reduction procedures allocate the large sets of predictive densities and combination weights to relatively small sets....
Persistent link: https://www.econbiz.de/10012816959
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A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2022
A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets. Given the...
Persistent link: https://www.econbiz.de/10013332662