請用此 Handle URI 來引用此文件: http://hdl.handle.net/11455/45446
標題: Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO
作者: Chang, Chia-Lin
Huang, Biing-Wen
Chen, Meng-Gu
McAleer, Michael
關鍵字: Hog prices
Joining the WTO
Conditional volatility models
Asymmetry
Leverage
maximum likelihood estimator
autoregressive time-series
unit-root
tests
conditional heteroscedasticity
financial volatility
garch
errors
market
power
heteroskedasticity
options
摘要: Prices in the hog industry in Taiwan are determined according to an auction system. There are significant differences in hog prices before, during and after joining the World Trade Organization (WTO). The paper models growth rates and volatility in daily hog prices in Taiwan from 23 March 1999 to 30 June 2007, which enables an analysis of the effects of joining the WTO. The empirical results have significant implications for risk management and policy in the agricultural industry. The three sub-samples for the periods before, during and after joining the WTO display significantly different volatility persistence of symmetry, asymmetry and leverage, respectively. (c) 2010 IMACS. Published by Elsevier B.V. All rights reserved.
URI: http://hdl.handle.net/11455/45446
ISSN: 0378-4754
顯示於類別:應用經濟學系

文件中的檔案:
沒有與此文件相關的檔案。


在 DSpace 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。