The empirical relevance of the competitive storage model

DOI10.1016/J.JECONOM.2009.10.008zbMATH Open1441.62621OpenAlexW1966561507MaRDI QIDQ737877FDOQ737877

Authors: Carlo Cafiero, Eugenio S. A. Bobenrieth H., Juan R. A. Bobenrieth H., Brian D. Wright 

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10533/130184

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zbMATH Keywords

simulationautocorrelationpseudo maximum likelihoodstoragecommodity prices

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Pseudo Maximum Likelihood Methods: Theory
• Title not available (Why is that?)
• On the Behaviour of Commodity Prices
• Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators
• Stochastic Speculative Price

Cited In (8)

• Climate change and the US wheat commodity market
• Commodity storage with durable shocks: a simple Markovian model
• On the behavior of commodity prices when speculative storage is bounded
• A stochastic optimal stopping model for storable commodity prices
• Market News in Commodity Price Theory: Application to the Ethiopian Grain Market
• Price index insurances in the agriculture markets
• Theory of storage and the pricing of commodity claims
• Interest rate dynamics and commodity prices

Uses Software

• CompEcon

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