Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/45446
DC FieldValueLanguage
dc.contributor.authorChang, Chia-Linen_US
dc.contributor.authorHuang, Biing-Wenen_US
dc.contributor.authorChen, Meng-Guen_US
dc.contributor.authorMcAleer, Michaelen_US
dc.contributor.otherNational Chung Hsing University,Department of Applied Economicsen_US
dc.contributor.other國立中興大學應用經濟學系zh_TW
dc.date2011-3zh_TW
dc.date.accessioned2014-06-06T08:15:05Z-
dc.date.available2014-06-06T08:15:05Z-
dc.identifier.issn0378-4754zh_TW
dc.identifier.urihttp://hdl.handle.net/11455/45446-
dc.description.abstractPrices 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.en_US
dc.language.isoen_USzh_TW
dc.relationMathematics and Computers in Simulation, Volume 81, Issue 7, Page(s) 1491-1506.en_US
dc.relation.isversionofMath. Comput. Simul.en_US
dc.subjectHog pricesen_US
dc.subjectJoining the WTOen_US
dc.subjectConditional volatility modelsen_US
dc.subjectAsymmetryen_US
dc.subjectLeverageen_US
dc.subjectmaximum likelihood estimatoren_US
dc.subjectautoregressive time-seriesen_US
dc.subjectunit-rooten_US
dc.subjecttestsen_US
dc.subjectconditional heteroscedasticityen_US
dc.subjectfinancial volatilityen_US
dc.subjectgarchen_US
dc.subjecterrorsen_US
dc.subjectmarketen_US
dc.subjectpoweren_US
dc.subjectheteroskedasticityen_US
dc.subjectoptionsen_US
dc.titleModelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTOen_US
dc.typeJournal Articlezh_TW
dc.identifier.doi10.1016/j.matcom.2010.06.003zh_TW
dc.contributor.catalogerMiao-zhen Luoen_US
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.fulltextno fulltext-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.languageiso639-1en_US-
item.openairetypeJournal Article-
Appears in Collections:應用經濟學系
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