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JOINT MODELING AND SIMULATION OF AUTOCORRELATED NON-NORMAL TIME SERIES: AN APPLICATION TO RISK AND RETURN ANALYSIS

Octavio Ramirez and Eduardo Somarriba

No 21564, 1999 Annual meeting, August 8-11, Nashville, TN from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: 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.

Keywords: Resource /Energy Economics and Policy; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 15
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea99:21564

DOI: 10.22004/ag.econ.21564

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