THEORETICAL CRITERIA AND A PROPOSED EMPIRICAL METHOD FOR COMPUTING HISTORICAL RISK MEASURES

Linda S. Calvin, Ron Mittelhammer () and Douglas L. Young

No 279236, 1980 Annual Meeting, July 27-30, Urbana-Champaign, Illinois from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Suggested criteria for evaluating the appropriateness of historical risk measures are presented. A continuously adjusted weighted moving average (CAWMA) method for calculating historical risk is introduced, and compared to past historical risk computation procedures both in terms of the suggested criteria, and in the context of specific empirical examples.

Keywords: Risk; and; Uncertainty (search for similar items in EconPapers)
Pages: 15
Date: 1980-07
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea80:279236

DOI: 10.22004/ag.econ.279236

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