Cortazar, Gonzalo; Ortega, Hector; Pérez, José Antonio - In: Risks : open access journal 13 (2025) 1, pp. 1-21
This paper presents a novel 5-factor model for agricultural commodity risk premiums, an approach not explored in previous research. The model is applied to the specific cases of corn, soybeans, and wheat. Calibration is achieved using a Kalman filter and maximum likelihood, with data from...