Aaron Smith

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

One Shields Avenue

Davis, CA 95616

United States

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 28,850

SSRN RANKINGS

Top 28,850

in Total Papers Downloads

3,286

SSRN CITATIONS
Rank 25,165

SSRN RANKINGS

Top 25,165

in Total Papers Citations

32

CROSSREF CITATIONS

15

Scholarly Papers (20)

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 516 (101,176)
Citation 8

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Commodities, False Discovery Rate, Forecasting Ability, Informed Traders

2.

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 366 (150,941)
Citation 17

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

3.

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 366 (150,941)
Citation 2

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Commodity futures markets, partially overlapping time series, commodity pricing

4.

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 315 (177,412)
Citation 7

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

5.

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 259 (217,007)
Citation 11

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

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 202 (275,079)

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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 192 (288,048)
Citation 3

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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 176 (311,180)
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 150 (356,441)
Citation 6

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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 143 (370,461)

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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 135 (387,445)

Abstract:

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Stochastic permanent breaks, Markov switching

12.

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 108 (458,430)
Citation 10

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

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 Richmond - E. Claiborne Robins School of Business and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 106 (467,425)
Citation 3

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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 Richmond - E. Claiborne Robins School of Business 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.

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 103 (474,393)
Citation 2

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Structural break, fractional integration, mean shift

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 74 (586,324)
Citation 1

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

16.

Import Demand Elasticities Based on Quantity Data: Theory and Evidence

IFN Working Paper No. 1296, 2021
Number of pages: 41 Posted: 08 Aug 2019 Last Revised: 09 Mar 2021
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 52 (694,204)

Abstract:

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Model selection, Partial identication, Trade elasticity, Armington

17.

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

NBER Working Paper No. w23924
Number of pages: 52 Posted: 16 Oct 2017 Last Revised: 15 May 2023
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 22 (923,457)

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18.

Nutrient Pollution and U.S. Agriculture: Causal Effects, Integrated Assessment, and Implications of Climate Change

NBER Working Paper No. w30124
Number of pages: 82 Posted: 13 Jun 2022 Last Revised: 18 Jun 2022
Konstantinos Metaxoglou and Aaron Smith
Carleton University and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 1 (1,114,876)
Citation 1
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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.

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

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