The distribution of futures prices: diffusion-jump versus generalized beta-2
Which of two distributions, the diffusion-jump process or the generalized beta-2 distribution, is superior in approximating the actual distribution of futures prices? The parameters of the distributions were estimated using the futures prices of four highly diverse commodities: British pound, corn, gold, and live cattle. The results suggest that the generalized beta-2 distribution is superior to the diffusion-jump.
Year of publication: |
1996
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Authors: | Stiegert, Kyle ; Brorsen, B. Wade |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 3.1996, 5, p. 303-305
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Publisher: |
Taylor & Francis Journals |
Saved in:
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