Model uncertainty in commodity markets
Agents who acknowledge that their models are incorrectly specified are said to be ambiguity averse, and this affects the prices they are willing to trade at. Models for prices of commodities attempt to capture three stylized features: seasonal trend, moderate deviations (a diffusive factor), and lar...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
Society for Industrial and Applied Mathematics
2016
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