Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach

Keyphrases

• ARCH-M 100%
• Broiler Industry 50%
• Broiler Production 50%
• Commodity Models 100%
• Covariance Structure 50%
• Endogenous Risk 100%
• Full Covariance 50%
• Market Model 50%
• Model Risk 50%
• Multivariate GARCH Models 100%
• Multivariate GARCH-M 50%
• Price Volatility 50%
• Rational Expectations 100%
• Rational Expectations Hypothesis 50%
• Rational Expectations Models 50%
• Time-varying Price 50%
• Two-step Approach 50%

Economics, Econometrics and Finance

• Generalized Autoregressive Conditional Heteroskedasticity 100%
• Price Volatility 33%