The distribution of futures prices: diffusion-jump versus generalized beta-2

Which of two distributions, the diffusion-jump process or the generalized beta-2 distribution, is superior in approximating the actual distribution of futures prices? The parameters of the distributions were estimated using the futures prices of four highly diverse commodities: British pound, corn, gold, and live cattle. The results suggest that the generalized beta-2 distribution is superior to the diffusion-jump.

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Year of publication:	1996
Authors:	Stiegert, Kyle ; Brorsen, B. Wade
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 3.1996, 5, p. 303-305
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009195789