Details about Gabriel Power

Access statistics for papers by Gabriel Power.

Last updated 2021-10-31. Update your information in the RePEc Author Service.

Short-id: ppo59

Working Papers

2018

1. Forecasting International Index Returns using Option-implied Variables
   Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques

2015

2. Reoptimization or Bias? Factors Affecting Changes in Production Decisions of Farmers
   2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California, Agricultural and Applied Economics Association

2010

3. Do Elevators Need a Bigger Umbrella? The Economic Value to Agribusiness Firms of Improved Multi-Commodity Risk Management
   2010 Annual Meeting, July 25-27, 2010, Denver, Colorado, Agricultural and Applied Economics Association
4. Estimation of a Backward-Bending Investment Demand Function for Agribusiness Firms
   2010 Annual Meeting, July 25-27, 2010, Denver, Colorado, Agricultural and Applied Economics Association
5. Is commodity price volatility persistent? Another look using improved, full-sample estimates
   2010 Annual Meeting, July 25-27, 2010, Denver, Colorado, Agricultural and Applied Economics Association
6. Type I and Type II Errors in the Unit Root Determination of a Fractional Brownian Motion
   2010 Annual Meeting, July 25-27, 2010, Denver, Colorado, Agricultural and Applied Economics Association

2009

7. A Spatial Equilibrium Model of the Impact of Bio-Fuels Energy Policy on Grain Transportation Flows
   2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association
8. Cotton Futures Dynamics: Structural Change, Index Traders and the Returns to Storage
   2009 Conference, April 20-21, 2009, St. Louis, Missouri, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management View citations (3)
9. Volatility Surface and Skewness in Live Cattle Futures Price Distributions with Application to North American BSE Announcements
   2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association View citations (2)
10. What Explains High Commodity Price Volatility? Estimating a Unified Model of Common and Commodity-Specific, High- and Low-Frequency Factors
    2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association View citations (5)
    See also Journal Article Short- and Long-Run Determinants of Commodity Price Volatility, American Journal of Agricultural Economics, Agricultural and Applied Economics Association (2013) View citations (42) (2013)

2008

11. On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis
    2008 Conference, April 21-22, 2008, St. Louis, Missouri, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management
12. The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model
    2008 Conference, April 21-22, 2008, St. Louis, Missouri, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management View citations (3)

2007

13. Spurious Long Memory in Commodity Futures: Implications for Agribusiness Option Pricing
    2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

2006

14. Farmland price bubbles: wavelet-based evidence
    2006 Agricultural and Rural Finance Markets in Transition, October 2-3, 2006, Washington, DC, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition
15. The Confidence Limits of a Geometric Brownian Motion
    2006 Annual meeting, July 23-26, Long Beach, CA, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Undated

16. Predicting the Corn Basis in the Texas Triangle Area
    2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia, Southern Agricultural Economics Association View citations (4)
    See also Journal Article Predicting the Corn Basis in the Texas Triangle Area, Journal of Agribusiness, Agricultural Economics Association of Georgia (2009) View citations (4) (2009)
17. The Effect of Food Scares on Risk Aversion: Implied Estimates from BSE Shocks on Cattle Futures Options (PowerPoint)
    SCC-76 Meeting, 2009, March 19-21, Galveston, Texas, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources
18. The Impact of the Average Crop Revenue Election (ACRE) Program on the Effectiveness of Crop Insurance
    2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia, Southern Agricultural Economics Association View citations (1)
    See also Journal Article The impact of the average crop revenue election (ACRE) program on the effectiveness of crop insurance, Agricultural Finance Review, Emerald Group Publishing Limited (2009) (2009)
19. The Price Shock Transmission during the 2007-2008 Commodity Bull Cycle: A Structural Vector Auto-Regression Approach to the "Chicken-or-Egg" Problem
    2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association View citations (1)

Journal Articles

2021

1. Fair-weather Friends? Sector-specific volatility connectedness and transmission
   International Review of Economics & Finance, 2021, 76, (C), 712-736 View citations (2)

2020

2. Commodity financialization and sector ETFs: Evidence from crude oil futures
   Research in International Business and Finance, 2020, 51, (C) View citations (10)
3. International Oil Market Risk Anticipations and the Cushing Bottleneck: Option-implied Evidence
   The Energy Journal, 2020, Volume 41, (Number 6), 255-280 View citations (2)
4. They're back! Post-financialization diversification benefits of commodities
   International Review of Financial Analysis, 2020, 71, (C) View citations (4)

2019

5. The effect of size offering and leverage on IPO underpricing
   International Journal of Managerial and Financial Accounting, 2019, 11, (3/4), 222-237

2018

6. Introduction to the special issue on the financialization of commodities
   Journal of Commodity Markets, 2018, 10, (C), 1-2
7. Real Option Valuation in a Gollier/Weitzman World: The Effect of Long-Run Discount Rate Uncertainty
   The Energy Journal, 2018, Volume 39, (Number 5) View citations (1)

2017

8. Catching the curl: Wavelet thresholding improves forward curve modelling
   Economic Modelling, 2017, 64, (C), 312-321 View citations (8)
9. Factors Affecting Changes in Managerial Decisions
   Agribusiness, 2017, 33, (3), 443-465 View citations (1)
10. Is hedging the crack spread no longer all it's cracked up to be?
    Energy Economics, 2017, 63, (C), 31-40 View citations (11)

2016

11. Asset fixity and backward-bending investment demand functions
    Research in International Business and Finance, 2016, 38, (C), 151-160 View citations (4)
12. Do traders strategically time their pledges during real-world Walrasian auctions?
    Journal of Banking & Finance, 2016, 71, (C), 109-118 View citations (1)
13. International stock market cointegration under the risk-neutral measure
    International Review of Financial Analysis, 2016, 47, (C), 243-255 View citations (8)
14. Quantitative finance for agricultural commodities: discussion and extension
    Agricultural Finance Review, 2016, 76, (1), 27-41
15. Testing for changes in option-implied risk aversion
    Review of Behavioral Finance, 2016, 8, (1), 58-79 View citations (1)
16. Valuation of strategic options in public–private partnerships
    Transportation Research Part A: Policy and Practice, 2016, 90, (C), 50-68 View citations (6)

2015

17. Dynamics between crude oil and equity markets under the risk-neutral measure
    Applied Economics Letters, 2015, 22, (5), 370-377

2013

18. Commodity futures price volatility, convenience yield and economic fundamentals
    Applied Economics Letters, 2013, 20, (11), 1089-1095 View citations (1)
19. Market volatility and the dynamic hedging of multi-commodity price risk
    Applied Economics, 2013, 45, (27), 3891-3903 View citations (7)
20. Short- and Long-Run Determinants of Commodity Price Volatility
    American Journal of Agricultural Economics, 2013, 95, (3), 724-738 View citations (42)
    See also Working Paper What Explains High Commodity Price Volatility? Estimating a Unified Model of Common and Commodity-Specific, High- and Low-Frequency Factors, 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin (2009) View citations (5) (2009)
21. Was there a peso problem in cattle options?
    Agricultural Finance Review, 2013, 73, (3), 526-538

2012

22. Strategic options associated with cooperative members' equity
    Agricultural Finance Review, 2012, 72, (1), 48-67

2011

23. Bayesian State-Space Estimation of Stochastic Volatility for Storable Commodities
    American Journal of Agricultural Economics, 2011, 93, (2), 434-440 View citations (4)
24. Impact of copula choice on the modeling of crop yield basis risk
    Agricultural Economics, 2011, 42, 101-112 View citations (6)
25. Revealing the impact of index traders on commodity futures markets
    Applied Economics Letters, 2011, 18, (7), 621-626 View citations (4)
26. What explains long memory in futures price volatility?
    Applied Economics, 2011, 43, (24), 3395-3404 View citations (1)

2010

27. Dealing with downside risk in a multi‐commodity setting: A case for a “Texas hedge”?
    Journal of Futures Markets, 2010, 30, (3), 290-304 View citations (10)
28. Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (1), 79-90 View citations (31)
29. US rural land value bubbles
    Applied Economics Letters, 2010, 17, (7), 649-656 View citations (8)

2009

30. On the exit value of a forward contract
    Journal of Futures Markets, 2009, 29, (2), 179-196
31. Predicting the Corn Basis in the Texas Triangle Area
    Journal of Agribusiness, 2009, 27, (01-2), 15 View citations (4)
    See also Working Paper Predicting the Corn Basis in the Texas Triangle Area, 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia View citations (4)
32. The impact of the average crop revenue election (ACRE) program on the effectiveness of crop insurance
    Agricultural Finance Review, 2009, 69, (3), 330-345
    See also Working Paper The Impact of the Average Crop Revenue Election (ACRE) Program on the Effectiveness of Crop Insurance, 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia View citations (1)

2008

33. Risk-Reducing Effectiveness of Revenue versus Yield Insurance in the Presence of Government Payments
    Journal of Agricultural and Applied Economics, 2008, 40, (2), 443-459 View citations (8)
    Also in Journal of Agricultural and Applied Economics, 2008, 40, (2), 17 (2008) View citations (8)
34. The Impact of North American BSE Events on Live Cattle Futures Prices
    American Journal of Agricultural Economics, 2008, 90, (5), 1279-1286 View citations (11)