Title: Salmon price volatility: a weight-class-specific multivariate approach
Authors: Bloznelis, Daumantas # ×
Issue Date: 16-Feb-2016
Publisher: Blackwell Science
Series Title: Aquaculture Economics & Management vol:20 issue:1 pages:24-53
Abstract: Salmon spot price has been highly volatile and hard to predict since mid-2000s, obscuring the industry players’ planning decisions. ARMA-GARCH and dynamic conditional correlation (DCC) models were employed on weekly data for 1995–2013 to examine the behavior of weight-class-specific prices which are directly relevant for salmon production and risk management. Two periods of different volatility regimes were identified, before and after 2006 when the salmon market was undergoing fundamental changes. Both volatility and conditional correlations increased from 1996–2005 to 2007–2013, and return dynamics became more homogenous across weight classes. This development is conducive to the functioning of the salmon futures and options exchange.
ISSN: 1365-7305
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Non-KU Leuven Association publications
× corresponding author
# (joint) last author

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