Measuring parametric and semiparametric downside risks of selected agricultural commodities

To chci

In this paper, we evaluate the downside risk of six major agricultural commodities - corn, wheat, soybeans, soybean meal, soybean oil and oats. For research purposes, we first use an optimal generalised autoregressive conditional heteroscedasticity (GARCH) model to create residuals, which we later use for measuring downside risks via parametric and semiparametric approaches. Modified value-at-risk (mVaR) and modified conditional value-at-risk (mCVaR) provide more accurate downside risk results than do ordinary value-at-risk (VaR) and conditional value-at-risk (CVaR). We report that soybean oil has the lowest mVaR and mCVaR because it has two very favourable features - skewness around zero and low kurtosis. The second-best commodity is soybeans. The worst-performing downside risk results are incen y wheat and oats, primarily because of their very high kurtosis values. On the basis of the results, we propose to investors and various agents involved with these agricultural assets that they reduce the risk of loss by combining these assets with other financial or commodity assets that have low risk. … celý popis

Podrobná bibliografie

Hlavní autor

Dejan Živkov

Další autoři

Marijana Joksimović
Suzana Balaban

Typ dokumentu

Články

Fyzický popis

12 ilustrací

Publikováno v

Agricultural Economics. -- ISSN 0139-570X. -- Roč. 67, č. 8 (2021), s. 305-315

Témata

Serbia

MAIZE

WHEATS

SOYBEANS

SOYBEAN FLOUR

SOYBEAN OIL

OATS

Agricultural prices

risk analysis

finance

ASSETS

Economic losses

ECONOMETRIC MODELS

QUANTITATIVE ANALYSIS

calculation

fluktuace cen

Srbsko

kukuřičné zrno

pšenice

sója

sójová mouka

sójový olej

ovsy

ceny zemědělských produktů

analýza rizika

aktiva

ekonomické ztráty

ekonometrické modely

kvantitativní analýza

výpočet

Popis jednotky

6 grafů, 6 tabulek

Bibliografie

Seznam literatury na s. 314-315 (19 záznamů)