Measuring Price Risk on UK Arable Farms.
In: Journal of Agricultural Economics, Jg. 56 (2005-07-01), Heft 2, S. 239-252
Online
academicJournal
Zugriff:
Price risk is estimated for a representative UK arable farm using value-at-risk (VaR). To determine the distribution of commodity returns, two multivariate generalised autoregressive conditional heteroscedasticity (GARCH) models, with (-distributed and normally distributed errors, and a RiskMetrics™ model are estimated. Returns show excess kurtosis and that the GARCH model with t-distributed errors fits best. Estimates of VaR differ between models: both GARCH models perform well but the RiskMetrics™ model underestimates expected losses. UK arable farms face substantial price risk. [ABSTRACT FROM AUTHOR]
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Measuring Price Risk on UK Arable Farms.
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Autor/in / Beteiligte Person: | White, Ben |
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Zeitschrift: | Journal of Agricultural Economics, Jg. 56 (2005-07-01), Heft 2, S. 239-252 |
Veröffentlichung: | 2005 |
Medientyp: | academicJournal |
ISSN: | 0021-857X (print) |
DOI: | 10.1111/j.1477-9552.2005.00002.x |
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