Volatility forecasting and time-varying variance risk premiums in grains commodity markets
Athanasios Triantafyllou, George Dotsis and Alexandros H. Sarris
| Year of publication: |
2015
|
|---|---|
| Authors: | Triantafyllou, Athanasios ; Dotsis, George ; Sarris, Alexandros H. |
| Published in: |
Journal of agricultural economics. - Oxford : Wiley-Blackwell, ISSN 0021-857X, ZDB-ID 410345-2. - Vol. 66.2015, 2, p. 329-357
|
| Subject: | Agricultural commodities | maize | price and variance forecasting | Risk-neutral variance and skewness | soybeans | variance risk premia | wheat | Volatilität | Volatility | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Sojabohne | Soybean | Rohstoffderivat | Commodity derivative | Getreide | Grain | Warenbörse | Commodity exchange | Mais | Maize | Varianzanalyse | Analysis of variance | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011299547