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The Behaviour of Salmon Price Volatility
12 references·16 citing·42 second hop
The Behaviour of Salmon Price Volatility (2008)The Behaviour of Salmon Price VolatilityThe dynamics of stochastic volatility: evidence from underlying and options markets (2003)The dynamics of stochastic vo…Public information arrival and volatility of intraday stock returns (2003)Public information arrival an…Product Aggregation, Market Integration, and Relationships between Prices: An Application to World Salmon Markets (1999)Product Aggregation, Market I…A Theory of Commodity Price Fluctuations (1996)A Theory of Commodity Price F…Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)Price Volatility, Trading Vol…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…On the Behaviour of Commodity Prices (1992)On the Behaviour of Commodity…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stochastic specification of production functions and economic implications (1978)Stochastic specification of p…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…On the theory of the competitive firm under price uncertainty (1971)On the theory of the competit…Profitability differences between public and private firms: The case of Norwegian salmon aquaculture (2021)Profitability differences bet…Determinants of capital structure in the Norwegian salmon aquaculture industry (2020)Determinants of capital struc…Pricing efficiency across destination markets for Norwegian salmon exports (2019)Pricing efficiency across des…Price Dynamics in Biological Production Processes Exposed to Environmental Shocks (2017)Price Dynamics in Biological …Salmon price volatility: A weight-class-specific multivariate approach (2016)Salmon price volatility: A we…Financial ratios and prediction on corporate bankruptcy in the Atlantic salmon industry (2016)Financial ratios and predicti…Price Volatility in Seafood Markets: Farmed vs. Wild Fish (2015)Price Volatility in Seafood M…Fish Price Volatility (2014)Fish Price VolatilityCurrency Invoicing in Norwegian Salmon Export (2014)Currency Invoicing in Norwegi…RECENT TRENDS IN SALMON PRICE VOLATILITY (2013)RECENT TRENDS IN SALMON PRICE…DETERMINANTS OF INEFFICIENCY IN NORWEGIAN SALMON AQUACULTURE (2013)DETERMINANTS OF INEFFICIENCY …SCIENTIFIC STOCHASTIC VOLATILITY MODELS FOR THE SALMON FORWARD MARKET: FORECASTING (UN-)CONDITIONAL MOMENTS (2012)SCIENTIFIC STOCHASTIC VOLATIL…Introducing individual transferable quotas on nitrogen in Danish fresh water aquaculture: Production and profitability gains (2012)Introducing individual transf…The importance of fishing method, gear and origin: The Spanish hake market (2011)The importance of fishing met…Demand Growth for Atlantic Salmon: The EU and French Markets (2011)Demand Growth for Atlantic Sa…Contracts in the Salmon Aquaculture Industry: An Analysis of Norwegian Salmon Exports (2011)Contracts in the Salmon Aquac…A Theory of Production (1928)Essays in the Theory of Risk-Bearing. (1972)Transcendental Logarithmic Production Frontiers (1973)Testing the Stochastic Structure of Production: A Flexible Moment-Based Approach (1983)Frontier production functions and technical efficiency: a survey of empirical applications in agricultural economics (1992)Technical efficiency in competing panel data models: a study of Norwegian grain farming (2012)Value and Capital (1939)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)The UK Market for Natural Gas, Oil and Electricity: Are the Prices Decoupled? (2006)Globalization and commoditization: The transformation of the seafood market (2017)Sustainable Seafood From Aquaculture and Wild Fisheries: Insights From a Discrete Choice Experiment in Germany (2017)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Forecasting Volatility in Financial Markets: A Review (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Rational Expectations and the Theory of Price Movements (1961)How Big Is the Random Walk in GNP? (1988)Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes? (1997)Facts and Fantasies about Commodity Futures (2006)Financialization of Commodity Markets (2013)Continuous Auctions and Insider Trading (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University. (1998)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Trade size, order imbalance, and the volatility–volume relation (2000)Cash Crop Production, Food Price Volatility, and Rural Market Integration in the Third World (1992)Rising Food Prices, Food Price Volatility, and Social Unrest (2014)Econometric Analysis of Cross Section and Panel Data (2001)CAPM over the long run: 1926–2001 (2006)Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2010)Market Skewness Risk and the Cross Section of Stock Returns (2013)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1971On the theory of the competitive firm under price uncertainty1,450 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1992On the Behaviour of Commodity Prices1,154 cited
  • 1993Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets667 cited
  • 1978Stochastic specification of production functions and economic implications662 cited
  • 2003The dynamics of stochastic volatility: evidence from underlying and options markets504 cited
  • 1999Product Aggregation, Market Integration, and Relationships between Prices: An Application to World Salmon Markets347 cited
  • 2003Public information arrival and volatility of intraday stock returns233 cited
  • 1996A Theory of Commodity Price Fluctuations219 cited

Cited by

  • 2014Fish Price Volatility146 cited
  • 2013RECENT TRENDS IN SALMON PRICE VOLATILITY101 cited
  • 2013DETERMINANTS OF INEFFICIENCY IN NORWEGIAN SALMON AQUACULTURE

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96 cited
  • 2011The importance of fishing method, gear and origin: The Spanish hake market94 cited
  • 2017Price Dynamics in Biological Production Processes Exposed to Environmental Shocks78 cited
  • 2015Price Volatility in Seafood Markets: Farmed vs. Wild Fish77 cited
  • 2011Contracts in the Salmon Aquaculture Industry: An Analysis of Norwegian Salmon Exports77 cited
  • 2011Demand Growth for Atlantic Salmon: The EU and French Markets73 cited
  • 2016Salmon price volatility: A weight-class-specific multivariate approach52 cited
  • 2012Introducing individual transferable quotas on nitrogen in Danish fresh water aquaculture: Production and profitability gains50 cited
  • 2012SCIENTIFIC STOCHASTIC VOLATILITY MODELS FOR THE SALMON FORWARD MARKET: FORECASTING (UN-)CONDITIONAL MOMENTS42 cited
  • 2020Determinants of capital structure in the Norwegian salmon aquaculture industry39 cited
  • 2014Currency Invoicing in Norwegian Salmon Export37 cited
  • 2021Profitability differences between public and private firms: The case of Norwegian salmon aquaculture32 cited
  • 2019Pricing efficiency across destination markets for Norwegian salmon exports26 cited
  • 2016Financial ratios and prediction on corporate bankruptcy in the Atlantic salmon industry19 cited