Modeling regime‐dependent agricultural commodity price volatilities
Year of publication: |
November 2017
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Authors: | Li, Na ; Ker, Alan P. ; Sam, Abdoul G. ; Aradhyula, Satheesh V. |
Published in: |
Agricultural economics : the journal of the International Association of Agricultural Economists. - Hoboken, NJ : Wiley-Blackwell, ISSN 0169-5150, ZDB-ID 742889-3. - Vol. 48.2017, 6, p. 683-691
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Subject: | GARCH | Volatility | Value at risk | Normal mixture | Volatilität | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Agrarpreis | Agricultural price | Schätzung | Estimation |
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