ASSESSMENT OF MARKET RISK IN HOG PRODUCTION USING VALUE-AT-RISK AND EXTREME VALUE THEORY



References

Christoffersen, P. F., Diebold, F. X. (2000): How Relevant is Volatility Forecasting for Financial Risk
Management? Review of Economics and Statistics 82: 1-11.

Danielsson, J., de Vries, C. G. (1997): Beyond the Sample: Extreme Quantile and Probability Estimation. Working
Paper, London School of Economics, University of Iceland.

Danielsson, J., de Vries, C. G. (2000): Value-at-Risk and Extreme Returns. Annals d'Economie et de Statistique 60:
239-269.

Danielsson, J., Hartmann, P., de Vries, C. G. (1998): The Cost of Conservatism. Risk 11: 101-103.

Danielsson, J., de Haan, L., Peng, L., de Vries, C. G. (2001): Using a Bootstrap Method to Choose the Sample
Fraction in Tail Index Estimation. Journal of Multivariate Analysis 76: 226-248.

Diebold, F.X. Hickman, A., Inoue, A., Schuermann, T. (1997): Converting 1-Day Volatility to h-Day Volatility:
Scaling by Root-h is Worse than You Think. Wharton Financial Institutions Center, Working Paper 97-34.
Published in condensed form as "Scale Models", Risk, 11, 104-107 (1998).

Diebold, F., X., Schuerman, T., Stroughair, J. D. (1998): Pitfalls and Opportunities in the Use of Extreme Value
Theory in Risk Management. Working Paper 98-10, The Wharton School, University of Pennsylvania.

Dowd, K. (1998): Beyond Value at Risk. Wiley, Chicester u.a.

Drost, F. C., Nijman, T. E. (1993): Temporal Aggregation of GARCH Processes. Econometrica, 61, 909-927.

Embrechts, P., Klüppelberg, C., Mikosch, T. (1997): Modeling Extremal Events for Insurance and Finance.
Springer, Berlin.

Greene, W. H. (2000): Econometric Analysis, Fourth Edition. Prentice-Hall, New Jersey.

Jorion, P. (1997): Value at Risk - The New Benchmark for Controlling Market Risk. McGraw-Hill, New York.

Li, D. X. (1999): Value at Risk based on the Volatility, Skewness and Kurtosis. Working Paper, Riskmetrics Group,
New York.

Manfredo, M., R., Leuthold, R., M. (1999): Market Risk Measurement and the Cattle Feeding Margin: An
Application of Value-at-Risk. OFOR Paper no. 99-04, University of Illinois at Urbana-Champaign.

McNeil, A., J. (1998): Calculating Quantile Risk Measures for Financial Return Series using Extreme Value Theory.
Working Paper, Department Mathematik, ETH Zürich.

McNeil, A., J., Frey, R. (2000): Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time
Series: an Extreme Value Approach. Journal of Empirical Finance 7: 271-300.

Odening, M., Muβhoff, O. (2002): Value-at-Risk - ein nützliches Instrument des Risikomanagements in
Agrarbetrieben? In: Brockmeier, M. et al. (Hrsg.): Liberalisierung des Weltagrarhandels - Strategien und
Konsequenzen. Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaus, Band
37 (in press).

Yang, S. R., Brorsen, B. W. (1992): Nonlinear Dynamics of Daily Cash Prices. American Journal of Agricultural
Economics 74: 706-715.

19



More intriguing information

1. The duration of fixed exchange rate regimes
2. The name is absent
3. The name is absent
4. Conflict and Uncertainty: A Dynamic Approach
5. Initial Public Offerings and Venture Capital in Germany
6. Impacts of Tourism and Fiscal Expenditure on Remote Islands in Japan: A Panel Data Analysis
7. ISO 9000 -- A MARKETING TOOL FOR U.S. AGRIBUSINESS
8. The name is absent
9. The name is absent
10. The English Examining Boards: Their route from independence to government outsourcing agencies
11. A Multimodal Framework for Computer Mediated Learning: The Reshaping of Curriculum Knowledge and Learning
12. Regional science policy and the growth of knowledge megacentres in bioscience clusters
13. Special and Differential Treatment in the WTO Agricultural Negotiations
14. Accurate and robust image superresolution by neural processing of local image representations
15. The name is absent
16. INTERPERSONAL RELATIONS AND GROUP PROCESSES
17. Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?
18. The role of statin drugs in combating cardiovascular diseases
19. HEDONIC PRICES IN THE MALTING BARLEY MARKET
20. The name is absent