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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název periodika

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Svazek periodika

65

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

8

Strana od-do

1671-1678

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85042741985