Wednesday, August 12, 2015

Copula Based Agricultural Risk Models

I have written previously about copulas, with some very elementary examples (see here and here). Below are some papers I have added to my reading list with applications in agricultural risk management. I'll likely followup in the future with some annotation/review.

Zimmer, D. M. (2015), Crop price comovements during extreme market downturns. Australian Journal of Agricultural and Resource Economics. doi: 10.1111/1467-8489.12119

Energy prices and agricultural commodity prices: Testing correlation using copulas method
Krishna H Koirala, Ashok K Mishra, Jeremy M D 'antoni, Joey E Mehlhorn
Energy 01/2015; DOI:10.1016/j.energy.2014.12.055 · 

Xiaoguang Feng, Dermot J. Hayes
Diversifying Systemic Risk in Agriculture: A Copula-based Approach

Mixed-Copula Based Extreme Dependence Analysis: A Case Study of Food and Energy Price Comovements
Feng Qiu and Jieyuan Zhao
Selected Paper prepared for presentation at the Agricultural & Applied Economics Association’s 2014 AAEA Annual Meeting, Minneapolis, MN, July 27-29, 2014.

Price asymmetry between different pork cuts in the USA: a copula approach
Panagiotou and Stavrakoudis Agricultural and Food Economics (2015) 3:6
DOI 10.1186/s40100-015-0029-2

Copula-Based Models of Systemic Risk in U.S. Agriculture: Implications for Crop Insurance and
Reinsurance Contracts Barry K. Goodwin
October 22, 2012

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