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

Posted: 4 Jun 2010  

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

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

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: https://ssrn.com/abstract=1617075 or http://dx.doi.org/jbq010

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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