1- Alizadeh A.H., Nomikos N.K., and Pouliasis P.K. 2008. A Markov regime switching approach for hedging energy commodities. Journal of Banking and Finance, 32(9): 1970-1983.
2- Allen D.E., Singh A.K., and Powell R.J. 2013. EVT and tail-risk modellilng: evidence from market indices and volatility series. North American Journal of Economics and Finance.
3- Anderson K., and Nelgen S. 2012. Trade barrier volatility and agricultural price stabilization. World Development, 40(1): 36–48.
4- Bastianin A., Manera M., Nicolini M., and Vignati I. 2012. Speculation, returns, volume and volatility in commodities futures markets. Review of Environment, Energy and Economics Re3.
5- Bohl M.T., and Stephan P.M. 2012. Does futures speculation destabilize spot prices? New evidence for commodity markets. SSRN Electronic Journal.
6- Bollerslev T. 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31: 307–327.
7- Brummer B., Korn O., Schlubler K., Jaghdani T.J., and Saucedo A. 2013. Volatility in the after crisis period: A literature review of recent empirical research. Working Paper, No.1.
8- Chen M.Y. 2013. Time series analysis: Conditional volatility models. Department of Finance, National Chung Hsing University.
9- Collier P. 2002. The macroeconomic repercussions of agricultural shocks and their implications for insurance. Discussion Paper No. 2002/46 (Helsinki: United Nations University, WIDER).
10- Davidian M., and Carroll R.J. 1987. Variance function estimation. Journal of the American Statistical Association 82: 1079-1091.
11- Ding Z., and Engle R.F. 2001. Large scale conditional covariance matrix modeling estimation and testing. Working Paper 01029, Department of Finance, NYU Stern School of Business.
12- Engle R.F. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50: 987–1007.
13- Engle R.F. 1990. Discussion: Stock volatility and the crash of ’87. Review of Financial Studies, 3: 103–106.
14- Engle R.F., and Ng V.K. 1993. Measuring and testing the impact of news on volatility. Journal of Finance, 48(5): 1749-1778.
15- Franses P.H., and van Dijk D. 2003. Non-linear time series models in eEmpirical finance. Cambridge University Press: Cambridge.
16- Ghahremanzadeh M., and Falsafian A. 2012. Volatility spillover effects in the Iran’s beef market. Journal of Agricultural Economics and Development, 1(26): 31-40. (In Persian).
17- Gilbert C.L., and Morgan C. W. 2010. Food price volatility. Philosophical Transactions of the Royal Society B, 365: 3023–3034.
18- Glosten L.R., Jagannathan R., and Runkle DE. 1993. On the relation between expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48: 1779–1801.
19- Gray S. 1996. “Modeling the conditional distribution of interest rates as a regime-switching process”, Journal o f Financial Economics, 42: 27-62.
20- Hansen P.R., and Lund A. 2001. A comparison of volatility models: Does anything beat a GARCH (1,1)? Working Paper Series, No.48.
21- Higgins M. L., and Bera A. K. 1992. A class of nonlinear ARCH models. International Economic Review, 33: 137–158.
22- Hosseini S., Salami H., and Nikookar A. 2007. The pattern of price transmission in the broiler market of Iran. Journal of Economic and Agriculture, 1(2), 1-21. (In Persian).
23- Huchet-Bourdon M. 2011. Agricultural commodity price volatility. Papers, OECD Library, Paris.
24- Iran’s Livestock support firm.Available at http://http://www.iranslal.com/index php/fa/amar/price-dame-toyor/d/mounts (visited 2013). (In Persian).
25- Jin H. J., and Kim T. 2012. Structural Changes in the Time Series of Food Prices and Volatility Measurement. American Journal of Agricultural Economics, 94(4): 929–944.
26- Khaligh P., Moghaddasi R., Eskandarpur B., and Mousavi N. 2012. Spillover effects of agricultural products price volatilities in Iran (Case study: poultry market). Journal of Basic and Applied Scientific Research, 2(8): 7906–7914.
27- Manganelli S., and Engle R.F. 2001. Value at Risk Models in Finance. ECB Working Paper No. 75.
28- Mortazavi S., Zamani A., noori M., and Naderi H. 2011. Effect of exchange rate fluctuations on Iran’s pistachio exports. Journal of Agricultural Economics and Development (Agricultural Science and Technology), 3(25): 347-354. (In Persian).
29- Nelson D.B. 1991. Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59: 349–370.
30- Pindyck R. S. 2001. The Dynamics of Commodity Spot and Futures Markets: A Primer. The Energy Journal, 22, No. 3.
31- Rezitis A., and Stavropoulos K. S. 2011. Price volatility and rational expectations in a sectoral framework commodity model: a multivariate GARCH approach. Agricultural Economics, 42(3): 419–435.
32- Subervie J. 2008. The variable response of agricultural supply to world price instability in developing countries. Journal of Agricultural Economics, Wiley Blackwell, vol. 59(1): 72-92, 02.
33- Terasvirta T. 2006. An introduction to univariate GARCH models. Working Paper Series in Economics and Finance 646, Stockholm School of Economics.
34- Tong H. 1990. Nonlinear time series: A dynamical system approach. Clarendon Press, Oxford.
35- Zakoian J. M. 1994. Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18: 931–995.
)
ارسال نظر در مورد این مقاله