排序方式: 共有7条查询结果,搜索用时 578 毫秒
1
1.
2.
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 总被引:1,自引:0,他引:1
Jean-Daniel Saphores Lynda Khalaf & Denis Pelletier 《American journal of agricultural economics》2002,84(2):387-400
Continuous-time models of natural resource prices usually preclude the possibility of large changes (jumps) resulting from unexpected events. To test for the presence of jumps and/or ARCH effects, we combine bounds and the Monte Carlo test technique to obtain finite-sample, level-exact p -values. We apply this methodology to stumpage prices from the Pacific Northwest and find evidence of jumps and ARCH effects. To assess the impact of neglecting jumps on the decision to harvest old-growth timber, we develop an autonomous, infinite-horizon stopping model for which we provide a new method of resolution. Our numerical results show the importance of modeling jumps explicitly. 相似文献
3.
4.
5.
Regulation and Investment under Uncertainty: An Application to Power Grid Interconnection 总被引:2,自引:0,他引:2
Saphores Jean-Daniel Gravel Eric Bernard Jean-Thomas 《Journal of Regulatory Economics》2004,25(2):169-186
Using real options, we consider a firm that must undergo a costly and time-consuming regulatory process before making an irreversible, lagged investment whose value varies randomly. We apply our model to Hydro-Québec's proposal to build a 1,250 megawatts interconnection with Ontario. We find that the optimal starts of the regulatory review and of the project construction depend on the randomness of project benefits and on the duration of the regulatory authorization. A sensible limit on the latter allows the regulator to address changing circumstances at little cost to the firm. However, long and uncertain regulatory proceedings make investing less attractive. 相似文献
6.
Jean-Daniel Boyer 《European Journal of the History of Economic Thought》2019,26(4):698-737
AbstractDuring the 1750s the grain debate agitated French opinion and contributed to the creation of the new science of political economy. It was notable as a confrontation between those who defended the regulation of commerce and partisans of free trade. In this paper we test some of the arguments made at that time, using cliometric techniques which we apply to existing data as well as to new, reconstituted data. 相似文献
7.
Mei-Ting Tsai Jean-Daniel Saphores Amelia Regan 《Transportation Research Part E: Logistics and Transportation Review》2011,47(6):920-932
This paper applies concepts from the theory of Real Options to hedge uncertainty in transportation capacity and cost using derivative contracts, called truckload options. We make three contributions. First, we provide a closed-form pricing formula for basic truckload options when the truckload spot price on a given lane follows a simple mean-reverting process. Second, since only monthly statistics about truckload spot prices are currently available, we provide an approach to estimate the parameters needed to value truckload options. Finally, a numerical illustration based on real data shows that truckload options could be valuable to both shippers and carriers. 相似文献
1