Purpose. Under the background of climate change and other crises, world food system is becoming increasingly vulnerable to price fluctuations. This highlights need consider better manage risks associated with volatility in accordance principles a market economy simultaneously protecting most groups population. Responding these challenges, this study we aim determine main parameters time series ...

Structural breaks and existence of outliers in time series variables results in misleading forecasts. We forecast wheat and rice prices by capturing the exogenous breaks and outliers using Automatic modeling. The procedure identifies the outliers as the observations with large residuals. The suggested model is compared on the basis of Root Mean Square Error (RMSE) and Mean Absolute Percentage E...

To explore the relationship between the prices of shipping market and China's economy, this paper analyzes the data of BDI and China's GDP from 2000 to 2015. By stabilizing the BDI and GDP data, this paper identifies the one-way causal relationship between the BDI and China's GDP via the granger causality test. The conclusion shows that BDI effects China's GDP positively at rate of 22% by using...

The primary purpose of this paper was to provide an in-depth analysis of the ability of modern analytical platforms (using IBM Watson Analytics as an example) to generate predictive models for stock prices forecasting in comparison with traditional analytical econometric platforms and models. Series of stock predictive models based on the suggestions of IBM Watson Analytics have demonstrated re...

We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting models. We also propose residual-based diagnostic tests and examine out-of-sample forecasts. In-sample LR tests support the TVP model for coal and gas but not for oil, though companion diagnostics suggest that the model is t...

In this paper I conduct tests of an intertemporal asset pricing model using variables that forecast stock returns as the risk factors. I document that the forecasting variables are priced so that expected excess returns are related to their conditional covariances with the forecasting variables. The variability in the covariance risk fails to explain the cross-sectional and time-series variatio...

Practitioner's Abstract The costs of corn-and soybean-based feeds compose a substantial proportion of the variable costs faced by both mainstream and emergent confined livestock producers. This research develops a method to provide a joint distribution of prices of corn and soybean meal at a future time. Black's 1976 option model and stochastic volatility jump diffusion (SVJD) model are compare...

This paper examines the forward pricing efficiency of the local crude palm oil (CPO) futures market. In an efficient market, the relevant signal to be used by -the producers, traders and processors is simply the futures price. The forward pricing efficiency is measured in terms of the forecasting ability of Malaysian crude palm oil futures price on physical price. The relative predictive power ...