Aaron Smith

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

One Shields Avenue

Davis, CA 95616

United States

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 21,041

SSRN RANKINGS

Top 21,041

in Total Papers Downloads

2,508

SSRN CITATIONS
Rank 15,427

SSRN RANKINGS

Top 15,427

in Total Papers Citations

45

CROSSREF CITATIONS

20

Scholarly Papers (31)

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 422 (75,204)
Citation 7

Abstract:

Loading...

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 330 (99,717)
Citation 2

Abstract:

Loading...

Commodity futures markets, partially overlapping time series, commodity pricing

3.
Downloads 232 (144,325)
Citation 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 and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 231 (144,438)
Citation 7

Abstract:

Loading...

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

Futures Market Failure?

American Journal of Agricultural Economics, Vol. 97, Issue 1, pp. 40-64, 2015
Number of pages: 25 Posted: 15 Apr 2020
Philip Garcia, Aaron Smith and Scott H. Irwin
University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics, University of California, Davis - Department of Agricultural and Resource Economics and University of Illinois at Urbana-Champaign
Downloads 1 (742,116)
  • Add to Cart

Abstract:

Loading...

Agriculture, basis, bubble, commodity futures, convergence, delivery, grain, storage

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 226 (148,023)
Citation 9

Abstract:

Loading...

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

5.

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 University of Georgia - Department of Agricultural & Applied Economics
Downloads 193 (171,547)
Citation 11

Abstract:

Loading...

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

6.

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 183 (179,956)

Abstract:

Loading...

Long Memory, Regime Switching, Structural Breaks

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 158 (204,264)
Citation 4

Abstract:

Loading...

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 133 (235,034)
Citation 1

Abstract:

Loading...

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 125 (246,341)
Citation 1

Abstract:

Loading...

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 110 (270,399)

Abstract:

Loading...

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

11.

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 100 (288,690)

Abstract:

Loading...

Stochastic permanent breaks, Markov switching

12.

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 83 (324,763)
Citation 2

Abstract:

Loading...

Structural break, fractional integration, mean shift

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 78 (340,309)
Citation 2

Abstract:

Loading...

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

Abstract:

Loading...

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 53 (411,102)
Citation 7

Abstract:

Loading...

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 42 (452,656)

Abstract:

Loading...

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

16.

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

IFN Working Paper No. 1296, 2019
Number of pages: 37 Posted: 08 Aug 2019 Last Revised: 04 Dec 2019
Shon M. Ferguson and Aaron Smith
Swedish University of Agricultural Sciences (SLU) - Department of Economics and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 15 (599,264)

Abstract:

Loading...

Model selection, Partial identication, Trade elasticity, Armington

17.

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 (606,038)
Citation 2
  • Add to Cart

Abstract:

Loading...

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 (695,641)

Abstract:

Loading...

19.

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

American Journal of Agricultural Economics, Vol. 89, Issue 4, pp. 839-851, 2007
Number of pages: 13 Posted: 24 Apr 2020
Purdue University, University of California, Davis - Department of Agricultural and Resource Economics and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 1 (707,942)
  • Add to Cart

Abstract:

Loading...

error correction model, excess quality, price regulation, rent dissipation

20.

A Century of U.S. Farm Productivity Growth: A Surge then a Slowdown

American Journal of Agricultural Economics, Vol. 100, Issue 4, pp. 1072-1090, 2018
Number of pages: 19 Posted: 21 Apr 2020
University of Wyoming, University of California, Davis - Department of Agricultural and Resource Economics, University of Minnesota - Minneapolis and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 1 (707,942)
Citation 3
  • Add to Cart

Abstract:

Loading...

U.S. agriculture, multifactor productivity, land and labor productivity, crop yields

21.

Designing Climate Policy: Lessons from the Renewable Fuel Standard and the Blend Wall

American Journal of Agricultural Economics, Vol. 100, Issue 2, pp. 585-599, 2018
Number of pages: 15 Posted: 21 Apr 2020
Macalester College - Department of Economics, Cornell University and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 1 (707,942)
Citation 1
  • Add to Cart

Abstract:

Loading...

Climate policy, mandates, renewable fuel standard

22.

Policy Shocks and Market‐Based Regulations: Evidence from the Renewable Fuel Standard

American Journal of Agricultural Economics, Vol. 100, Issue 3, pp. 707-731, 2018
Number of pages: 25 Posted: 21 Apr 2020
Macalester College - Department of Economics, Cornell University and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 1 (707,942)
Citation 3
  • Add to Cart

Abstract:

Loading...

Policy design, quantity mechanisms, renewable fuel standard, tradable credits

23.

Commodity Price Comovement and Financial Speculation: The Case of Cotton

American Journal of Agricultural Economics, Vol. 100, Issue 1, pp. 264-285, 2018
Number of pages: 22 Posted: 21 Apr 2020
Joseph Janzen, Aaron Smith and Colin A. Carter
affiliation not provided to SSRN, University of California, Davis - Department of Agricultural and Resource Economics and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 1 (707,942)
Citation 1
  • Add to Cart

Abstract:

Loading...

Commodity prices, index traders, financialization, speculation, cotton, comovement, structural VAR

24.

Commodity Storage and the Market Effects of Biofuel Policies

American Journal of Agricultural Economics, Vol. 99, Issue 4, pp. 1027-1055, 2017
Number of pages: 29 Posted: 15 Apr 2020
University of California, Davis - Department of Agricultural and Resource Economics, University of California, Berkeley - Department of Agricultural and Resource Economics and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 1 (707,942)
Citation 8
  • Add to Cart

Abstract:

Loading...

Agriculture, energy policy, ethanol, partial identification, vector autoregression

25.

Futures Prices in Supply Analysis: Are Instrumental Variables Necessary?

American Journal of Agricultural Economics, Vol. 97, Issue 1, pp. 22-39, 2015
Number of pages: 18 Posted: 15 Apr 2020
Kansas State University, affiliation not provided to SSRN and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 1 (707,942)
Citation 1
  • Add to Cart

Abstract:

Loading...

Endogeneity, futures prices, supply response

26.

Crop Supply Dynamics and the Illusion of Partial Adjustment

American Journal of Agricultural Economics, Vol. 96, Issue 5, pp. 1469-1491, 2014
Number of pages: 23 Posted: 15 Apr 2020
Kansas State University, University of California, Davis - Department of Agricultural and Resource Economics and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 1 (707,942)
Citation 7
  • Add to Cart

Abstract:

Loading...

Aggregation, crop rotation, dynamic panel econometrics

27.

Hedging and Speculative Trading in Agricultural Futures Markets

American Journal of Agricultural Economics, Vol. 96, Issue 2, pp. 542-556, 2014
Number of pages: 15 Posted: 15 Apr 2020
University of Richmond - E. Claiborne Robins School of Business, University of California, Davis - Department of Agricultural and Resource Economics and affiliation not provided to SSRN
Downloads 1 (707,942)
  • Add to Cart

Abstract:

Loading...

28.

Productivity Spillovers from Pollution Reduction: Reducing Coal Use Increases Crop Yields

American Journal of Agricultural Economics, Vol. 102, Issue 1, pp. 259-280, 2020
Number of pages: 22 Posted: 24 Mar 2020
Konstantinos Metaxoglou and Aaron Smith
Carleton University and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 0 (726,093)
  • Add to Cart

Abstract:

Loading...

Crop yields, emissions, ozone pollution, electric power sector

29.

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

Abstract:

Loading...

30.

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

Abstract:

Loading...

31.

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 (NYU) - Department of Finance

Abstract:

Loading...