On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices
结合边界检验和蒙特卡洛方法，检验太平洋西北地区立木价格是否存在跳跃和ARCH效应，并开发了一个无限期停止模型来评估忽略跳跃对老林采伐决策的影响。
Abstract Continuous‐time models of natural resource prices usually preclude the possibility of large changes (jumps) resulting from unexpected events. To test for the presence of jumps and/or ARCH effects, we combine bounds and the Monte Carlo test technique to obtain finite‐sample, level‐exact p ‐values. We apply this methodology to stumpage prices from the Pacific Northwest and find evidence of jumps and ARCH effects. To assess the impact of neglecting jumps on the decision to harvest old‐growth timber, we develop an autonomous, infinite‐horizon stopping model for which we provide a new method of resolution. Our numerical results show the importance of modeling jumps explicitly.