A Double-Exponential Jump model and its application to risk measure in Wheat spot market

Xiaoying Huang

Economics Bulletin, 2017, vol. 37, issue 2, 1298-1309

Abstract: This paper considers the complete feature of commodity spot prices for risk measuring. We use a Double-Exponential Jump model to capture the evolution of wheat spot prices from 2004 to 2014 and utilize the estimated model in the calculation of Value-at-Risk. In the modeling of wheat spot prices, the baseline model outperforms all alternative models. In the case of relative high volatile period, there exists risk underestimation of Value-at-Risk with normal distribution hypothesis. It is suggested to take into account jump risk and other special characteristics of prices in the risk management for agricultural cooperatives.

Keywords: Double-Exponential jump model; wheat spot price; Agricultural cooperatives,Value-at-Risk (search for similar items in EconPapers)
JEL-codes: Q0 (search for similar items in EconPapers)
Date: 2017-06-05
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