Dependence in Spikes of Energy and Agricultural Prices

Ford Ramsey

No 205120, 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California from Agricultural and Applied Economics Association

Abstract: Using elements of extreme value theory, I develop a Bayesian modeling approach that is capable of capturing the extremal dependence structures characterizing energy and agricultural prices. This approach is based on asymptotic arguments that hold for many underlying distributions of prices. Positive and negative movements of prices are considered separately which allows for asymmetry. Because the model is applied only to returns designated as extreme, inference does not depend on observations in the main body of the distribution. This is appealing because there is no reason to suspect a priori that the processes generating non--extreme and extreme observations are similar.

Keywords: Demand and Price Analysis; Research Methods/Statistical Methods; Resource/Energy Economics and Policy (search for similar items in EconPapers)
Pages: 2
Date: 2015
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/205120/files/aaea2015.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea15:205120

DOI: 10.22004/ag.econ.205120

Access Statistics for this paper

More papers in 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().