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A Double-Exponential Jump model and its application to risk measure in Wheat spot market

Author

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  • Xiaoying Huang

    (Labex-ReFi & PRISM, University of Paris 1 Pantheon-Sorbonne)

Abstract

This paper considers the complete feature of commodity spot prices for risk measuring. We use a Double-Exponential Jump model to capture the evolution of wheat spot prices from 2004 to 2014 and utilize the estimated model in the calculation of Value-at-Risk. In the modeling of wheat spot prices, the baseline model outperforms all alternative models. In the case of relative high volatile period, there exists risk underestimation of Value-at-Risk with normal distribution hypothesis. It is suggested to take into account jump risk and other special characteristics of prices in the risk management for agricultural cooperatives.

Suggested Citation

  • Xiaoying Huang, 2017. "A Double-Exponential Jump model and its application to risk measure in Wheat spot market," Economics Bulletin, AccessEcon, vol. 37(2), pages 1298-1309.
    • Handle: RePEc:ebl:ecbull:eb-16-00459
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Double-Exponential jump model; wheat spot price; Agricultural cooperatives; Value-at-Risk;
    All these keywords.

    JEL classification:

    • Q0 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General

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