On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests

Jean-Daniel Saphores, Lynda Khalaf and Denis Pelletier

Cahiers de recherche from Université Laval - Département d'économique

Abstract:

Models used for natural resources prices usually preclude the possibility of large changes (jumps) resulting from discrete, unexpected events. To test for the presence of jumps and ARCH effects, we propose to use bounds and bootstrap test techniques, thus solving the unidentified nuisance parameter problem. We apply this approach to stumpage price time series from the Pacific Northwest and find evidence of jumps and ARCH effects. Using real options, we then develop a stopping model to assess the impact of neglecting jumps on the decision to harvest old-growth timber. Our numerical results show the importance of modeling jumps explicitly.

Keywords: Jump processes; ARCH; Bootstrap; Stumpage prices; Real options (search for similar items in EconPapers)
JEL-codes: C15 C52 G12 Q23 (search for similar items in EconPapers)
Date: 2000
New Economics Papers: this item is included in nep-mic and nep-res
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.ecn.ulaval.ca/w3/recherche/cahiers/2000/0003.pdf (application/pdf)

Related works:
Working Paper: On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests (2000)
Working Paper: On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests (2000)
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:lvl:laeccr:0003

Access Statistics for this paper

More papers in Cahiers de recherche from Université Laval - Département d'économique Contact information at EDIRC.
Bibliographic data for series maintained by Manuel Paradis ().