Aaron Smith
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Associate Professor 3103 Social Sciences & Humanities Office Hours: By Appointment Phone: (530) 752-2138 Fax: (530) 752-5614 |
Selected Publications
- Identifying Informed Traders in Futures Markets (with Raymond P.H. Fishe), Journal of Financial Markets, forthcoming, 2011
- Volatility Dynamics and Seasonality in Energy Prices: Implications for Crack-Spread Price Risk (with Hiroaki Suenaga), The Energy Journal, 32(3), 2011
- Commodity Booms and Busts (with Colin Carter and Gordon Rausser), Annual Review of Resource Economics, Volume 3, 2011
- Efficiency of the California Electricity Reserves Market (with Konstantinos Metaxoglou), Journal of Applied Econometrics, 22(6): 1127-1144, 2007.
- Maximum Likelihood Estimation of VARMA Models Using a State Space EM Algorithm (with Konstantinos Metaxoglou), Journal of Time Series Analysis, 28(5): 666-685, 2007.
- Estimating the Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn (with Colin Carter), Review of Economics and Statistics, 89(3): 522-533, 2007 (winner of AAEA Quality of Research Discovery Award, 2008).
- Markov-Switching Model Selection Using Kullback-Leibler Divergence (with Prasad Naik and Chih-Ling Tsai), Journal of Econometrics, 134(2): 553-577, 2006.
- Partially Overlapping Time Series: A New Model for Volatility Dynamics in Commodity Futures, Journal of Applied Econometrics, 20(3): 405-422, 2005.
- Level Shifts and the Illusion of Long Memory in Economic Time Series, Journal of Business and Economic Statistics, 23(3): 321-335, 2005.
- Stochastic Permanent Breaks (with Robert Engle), Review of Economics and Statistics, 81(4): 553-574, 1999