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

Kyle Stiegert () and B Brorsen

Applied Economics Letters, 1996, vol. 3, issue 5, 303-305

Abstract: 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.

Date: 1996
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DOI: 10.1080/135048596356401

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