Variance risk premia for agricultural commodities
Purpose: The purpose of this paper is to study the variance risk premium in corn and soybean markets, where the variance risk premium is defined as the difference between the historical realized variance and the corresponding risk-neutral expected variance. Design/methodology/approach: The authors c...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Emerald Group Holdings Ltd.
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |