The pricing of variance risks in agricultural futures markets : do jumps matter?
Xinyue He, Siyu Bian and Teresa Serra
| Year of publication: |
2023
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| Authors: | He, Xinyue ; Bian, Siyu ; Serra, Teresa |
| Published in: |
European review of agricultural economics. - Oxford : Oxford University Press, ISSN 1464-3618, ZDB-ID 1480706-3. - Vol. 50.2023, 4, p. 1428-1452
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| Subject: | agricultural commodity markets | variance risk premium | futures andoptions | Risikoprämie | Risk premium | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | Hedging | Warenbörse | Commodity exchange | Derivat | Derivative | Welt | World | Agrarmarkt | Agricultural market | Varianzanalyse | Analysis of variance | Agrarprodukt | Agricultural product |
| Description of contents: | Description [doi.org] |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/erae/jbad026 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014331348