MIXTURE DISTRIBUTIONS: CURING COMMODITY KURTOSIS?

Matthew C. Roberts

No 21604, 1999 Annual meeting, August 8-11, Nashville, TN from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Recent research has determined that commodity prices often exhibit distributional characteristics inconsistent with normality or log-normality. We utilize discrete mixtures of log-normals in a GARCH framework to model corn, wheat, and soybean prices. Options premiums are simulated and compared to actual premiums and premiums generated under standard Black-Scholes assumptions.

Keywords: Agribusiness; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 9
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea99:21604

DOI: 10.22004/ag.econ.21604

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