Measuring parametric and semiparametric downside risks of selected agricultural commodities
In this paper, we evaluate the downside risk of six major agricultural commodities - corn, wheat, soybeans, soybean meal, soybean oil and oats. For research purposes, we first use an optimal generalised autoregressive conditional heteroscedasticity (GARCH) model to create residuals, which we later u...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Czech Academy of Agricultural Sciences
2021-08-01
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| Series: | Agricultural Economics (AGRICECON) |
| Subjects: | |
| Online Access: | https://agricecon.agriculturejournals.cz/artkey/age-202108-0001_measuring-parametric-and-semiparametric-downside-risks-of-selected-agricultural-commodities.php |