Leverage Effect and Stochastic Volatility in the Agricultural Commodity Market under the CEV Model

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F17%3A74852" target="_blank" >RIV/60460709:41110/17:74852 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.11118/actaun201765051671" target="_blank" >http://dx.doi.org/10.11118/actaun201765051671</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.11118/actaun201765051671" target="_blank" >10.11118/actaun201765051671</a>

Result language

angličtina

Original language name

Leverage Effect and Stochastic Volatility in the Agricultural Commodity Market under the CEV Model

Original language description

The problem of price fluctuation is crucial to the concept of financial engineering nowadays. The aim of this paper is twofold, first to investigate the leverage effect of the main agricultural commodities: wheat and corn, i. e. the relationship between monetary returns and the volatility of commodity prices and, secondly to capture their stochastic volatility by forming an appropriate model. The data are considered as post crisis data. That means the period after the biggest shock to the world economy. Thus, the Constant Elasticity of Variance (CEV) model is used calibrated to the Generalized Method of Moments (GMM). The paper is briefly based on the research of Geman and Shih (2009), who propose an extension in capturing the leverege effect in the commodity market. Their results show a positive relationship between commodity price returns and the volatility in both the corn and wheat derivative market. According to these results, corn futures prices are characterized significantly under the CEV mod

Czech name

—

Czech description

—

Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

—

OECD FORD branch

50202 - Applied Economics, Econometrics

Project

—

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Volume of the periodical

65

Issue of the periodical within the volume

5

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

8

Pages from-to

1671-1678

UT code for WoS article

—

EID of the result in the Scopus database

2-s2.0-85042741985