Aaron Smith

University of California, Davis - Department of Agricultural and Resource Economics

One Shields Avenue

Davis, CA 95616

United States

SCHOLARLY PAPERS

21

DOWNLOADS
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2,360

CITATIONS
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SSRN RANKINGS

Top 26,102

in Total Papers Citations

23

Scholarly Papers (21)

1.

Identifying Informed Traders in Futures Markets

Number of pages: 60 Posted: 30 Oct 2010 Last Revised: 13 Apr 2011
Raymond P.H. Fishe and Aaron Smith
University of Richmond - E. Claiborne Robins School of Business and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 399 (72,576)
Citation 4

Abstract:

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Commodities, False Discovery Rate, Forecasting Ability, Informed Traders

2.

Partially Overlapping Time Series: A New Model for Volatility Dynamics in Commodity Futures

UC Davis Agricultural and Resource Economics Working Paper No. 04-013
Number of pages: 37 Posted: 02 May 2005
Aaron Smith
University of California, Davis - Department of Agricultural and Resource Economics
Downloads 323 (92,470)

Abstract:

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Commodity futures markets, partially overlapping time series, commodity pricing

3.

Futures Market Failure?

Number of pages: 40 Posted: 28 Oct 2011
Philip Garcia, Scott H. Irwin and Aaron Smith
University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 222 (136,822)
Citation 6

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finance, agriculture, commodity futures, delivery, grain, storage, present value, asset pricing

4.

Markov-Switching Model Selection Using Kullback-Leibler Divergence

UC Davis Agricultural and Resource Economics Working Paper No. 05-001
Number of pages: 43 Posted: 02 May 2005
Aaron Smith, Prasad A. Naik and Chih-Ling Tsai
University of California, Davis - Department of Agricultural and Resource Economics, University of California, Davis and University of California, Davis - Graduate School of Management
Downloads 222 (136,822)
Citation 5

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Advertising effectiveness, business cycles, EM algorithm, hidden Markov models, information criterion, Markov-switching regression

5.

Why Regime Switching Creates the Illusion of Long Memory

Number of pages: 32 Posted: 21 Jan 2002
Aaron Smith
University of California, Davis - Department of Agricultural and Resource Economics
Downloads 182 (164,675)

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Long Memory, Regime Switching, Structural Breaks

6.

Deconstructing Wheat Price Spikes: A Model of Supply and Demand, Financial Speculation, and Commodity Price Comovement

USDA-ERS Economic Research Report Number 165
Number of pages: 51 Posted: 01 Oct 2014
University of California, Davis, University of California, Davis - Department of Agricultural and Resource Economics, University of California, Davis - Department of Agricultural and Resource Economics and U.S. Department of Agriculture (USDA) - Economic Research Service (ERS)
Downloads 169 (175,866)
Citation 7

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commodity prices, comovement, futures, index funds, speculation, wheat

7.

Estimating the Market Effect of a Food Scare: The Case of Genetically Modified Starlink Corn

Number of pages: 42 Posted: 30 Apr 2005
Colin A. Carter and Aaron Smith
University of California, Davis - Department of Agricultural and Resource Economics and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 147 (197,702)

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Genetically modified organisms, GMOs, StarLink Corn, food safety

8.

Option-Implied Equity Premium Predictions via Entropic Tilting

Number of pages: 35 Posted: 26 Mar 2016 Last Revised: 12 Sep 2017
Carleton University, Brandeis University - International Business School and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 128 (220,901)
Citation 1

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entropic tilting, density forecasts, variance risk premium, equity premium, options

9.

Computer and Internet Use by Great Plains Farmers

UC Davis Agricultural and Resource Economics Working Paper No. 04-010
Number of pages: 38 Posted: 01 May 2005
University of California, Davis - Department of Agricultural and Resource Economics, University of California, Davis - Department of Agricultural and Resource Economics, Kansas State University - Department of Sociology and University of California, Davis
Downloads 120 (231,896)

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Technology adoption, agriculture, competitiveness, net benefits

10.

Words that Matter for Asset Pricing: The Case of IPOs

Number of pages: 47 Posted: 24 Mar 2014 Last Revised: 01 Nov 2014
University of Richmond - E. Claiborne Robins School of Business, University of Richmond - E. Claiborne Robins School of Business and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 107 (251,827)

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Word Tone, Textual Analysis, Initial Public Offering (IPO), Risk Factors, False Discovery Rate

11.

Level Shifts and the Illusion of Long Memory in Economic Time Series

University of California Agricultural and Resource Economics Working Paper No. 04-011
Number of pages: 47 Posted: 30 Apr 2005
Aaron Smith
University of California, Davis - Department of Agricultural and Resource Economics
Downloads 81 (301,419)

Abstract:

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Structural break, fractional integration, mean shift

12.

Forecasting in the Presence of Level Shifts

UC Davis Agricultural and Resource Economics Working Paper No. 04-014
Number of pages: 35 Posted: 02 May 2005
Aaron Smith
University of California, Davis - Department of Agricultural and Resource Economics
Downloads 78 (308,200)

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Stochastic permanent breaks, Markov switching

Foreign Central Bank Activities in U.S. Futures Markets

Number of pages: 54 Posted: 12 Sep 2014
University of Richmond - E. Claiborne Robins School of Business, University of Illinois at Urbana-Champaign and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 74 (321,136)
Citation 1

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Central Banks, Reserve management, Interest-rate derivatives, Hedging, Speculation, Financial crisis, Synchronized trading

Foreign Central Bank Activities in U.S. Futures Markets

Journal of Futures Markets, Vol. 36, No. 1, pp. 3-29, January 2016
Posted: 09 Jun 2015 Last Revised: 10 Feb 2016
University of Richmond - E. Claiborne Robins School of Business, University of Illinois at Urbana-Champaign and University of California, Davis - Department of Agricultural and Resource Economics

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Central Banks, Reserve management, Interest-rate derivatives, Hedging, Speculation, Financial crisis, Synchronized trading

14.

Ex Post Costs and Renewable Identification Number (RIN) Prices Under the Renewable Fuel Standard

Resources for the Future Discussion Paper 15-22
Number of pages: 46 Posted: 26 Jun 2015
Macalester College - Department of Economics, Cornell University and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 49 (389,808)
Citation 3

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Renewable Fuel Standard, biofuels, compliance credits, renewable identification number, RIN prices, GHG emissions, regulatory impact analysis

15.

State Prices of Conditional Quantiles: New Evidence on Time-Varying Expected Returns

Number of pages: 61 Posted: 28 Oct 2011
Konstantinos Metaxoglou and Aaron Smith
affiliation not provided to SSRN and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 41 (418,531)

Abstract:

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Conditional Quantiles, Forecasting, Returns, Stochastic Discount Factor, State Prices

16.

Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm

Journal of Time Series Analysis, Vol. 28, No. 5, pp. 666-685, September 2007
Number of pages: 20 Posted: 09 Aug 2007
Konstantinos Metaxoglou and Aaron Smith
University of California, Davis - Department of Economics and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 14 (554,686)
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17.

Import Demand Elasticities Based on Quantity Data: Theory, Evidence and Implications for the Gains from Trade

IFN Working Paper No. 1296
Number of pages: 40 Posted: 08 Aug 2019
Shon M. Ferguson and Aaron Smith
Research Institute of Industrial Economics (IFN) and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 2 (636,697)

Abstract:

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Model selection, Partial identication, Trade elasticity, Armington

18.

Food vs. Fuel? Impacts of Petroleum Shipments on Agricultural Prices

NBER Working Paper No. w23924
Number of pages: 52 Posted: 16 Oct 2017
University of California, Davis - Departments of Economics and Agricultural Resource Economics, University of Colorado at Boulder - Department of Economics and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 2 (636,697)

Abstract:

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19.

Commodity Booms and Busts

Annual Review of Resource Economics, Vol. 3, Issue 1, pp. 87-118, 2011
Posted: 16 Sep 2011
Colin A. Carter and Aaron Smith
University of California, Davis - Department of Agricultural and Resource Economics and University of California, Davis - Department of Agricultural and Resource Economics

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20.

Effects of Milk Marketing Order Regulation on the Share of Fluid-Grade Milk in the United States

American Journal of Agricultural Economics, Vol. 89, No. 4, pp. 839-851, November 2007
Posted: 01 Oct 2007
Purdue University - Department of Agricultural Economics, University of California, Davis - Department of Agricultural and Resource Economics and University of California, Davis - Department of Agricultural and Resource Economics

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21.

Stochastic Permanent Breaks

University of California at San Diego, Department of Economics, Discussion Paper No. 98-03
Posted: 14 Aug 1998
Aaron Smith and Robert F. Engle
University of California, Davis - Department of Agricultural and Resource Economics and New York University - Leonard N. Stern School of Business - Department of Economics

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