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)
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)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea99:21604
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