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Xiaoying Huang
''A Double-Exponential Jump model and its application to risk measure in Wheat spot market''
( 2017, Vol. 37 No.2 )
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.
Keywords: Double-Exponential jump model; wheat spot price; Agricultural cooperatives, Value-at-Risk
JEL: Q0 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics: General
Manuscript Received : Jun 15 2016 Manuscript Accepted : Jun 05 2017

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