THE USE OF VALUE-AT-RISK MODELS TO ESTIMATE THE INVESTMENT RISK ON AGRICULTURAL COMMODITY MARKET

被引：0
|
作者：
Just, Malgorzata [1 ]
机构：
[1] Poznan Univ Life Sci, Poznan, Poland
来源：
HRADEC ECONOMIC DAYS 2014: ECONOMIC DEVELOPMENT AND MANAGEMENT OF REGIONS, PT IV | 2014年
关键词：
Value-at-Risk; agricultural commodity market;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The aim of the paper is to verify the estimation methods of the value at risk on the agricultural commodity market in the period of the beginning of 2002 till mid November of 2013. The conditional and unconditional Value-at-Risk (VaR) models were compared. The following models: GARCH with a skewed Student-t distribution, GARCH-EVT and GARCH-FHS enable to estimate the VaR correctly in very turbulent times on agricultural commodity markets.
引用
收藏
页码：264 / 273
页数：10
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