Odening, Martin; Hinrichs, Jan - In: Agricultural Finance Review 63 (2003) 1, pp. 55-73
This study examines problems that may occur when conventional Value‐at‐Risk (VaR) estimators are used to quantify market risks in an agricultural context. For example, standard VaR methods, such as the variance‐covariance method or historical simulation, can fail when the return...