Abstract

http://ssrn.com/abstract=1617075
 


 



Feasibility of Derivatives for Monkfish in France: A Dependence Analysis Using the Empirical Copula


Nicolas Rautureau


University of Nantes - Faculty of Business and Economics

Zahra El Houakmi-Royer


affiliation not provided to SSRN

Yves Perraudeau


University of Nantes - Faculty of Business and Economics


European Review of Agricultural Economics, Vol. 37, No. 2, pp. 209-229, 2010

Abstract:     
Financial derivatives have long been used to achieve price risk management in agriculture, but, up to this point, little has been done in the seafood sector. One difficulty stems from the lack of product homogeneity, so we evaluate the possibility of building representative price indices. This is an essential step due to the absence of such indices and hedging instruments in France. We conduct a statistical analysis of the daily French monkfish market between 1994 and 2006. Empirical copula is used in relation to the basis risk to handle the dependence between the different sizes.

Keywords: monkfish, price risk management, empirical copula, Kendall's τ, basis risk

JEL Classification: G00, O13, Q14, Q22

Accepted Paper Series


Not Available For Download

Date posted: June 4, 2010  

Suggested Citation

Rautureau, Nicolas and El Houakmi-Royer, Zahra and Perraudeau, Yves, Feasibility of Derivatives for Monkfish in France: A Dependence Analysis Using the Empirical Copula. European Review of Agricultural Economics, Vol. 37, No. 2, pp. 209-229, 2010. Available at SSRN: http://ssrn.com/abstract=1617075 or http://dx.doi.org/jbq010

Contact Information

Nicolas Rautureau (Contact Author)
University of Nantes - Faculty of Business and Economics ( email )
France
HOME PAGE: http://www.univ-nantes.fr/jsp/fiche_annuaire.jsp?STNAV=&CODE=rautureau-n&LANGUE=1
Zahra El Houakmi-Royer
affiliation not provided to SSRN
No Address Available
Yves Perraudeau
University of Nantes - Faculty of Business and Economics ( email )
France
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