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Comparative Approach of Measuring Price Risk on Romanian and International Wheat Market
Abstract:This paper aims to present the main instruments used in the economic literature for measuring the price risk, pointing out on the advantages brought by the conditional variance in this respect. The theoretical approach will be exemplified by elaborating an EGARCH model for the price returns of wheat, both on Romanian and on international market. To our knowledge, no previous empirical research, either on price risk measurement for the Romanian markets or studies that use the ARIMA-EGARCH methodology, have been conducted. After estimating the corresponding models, the paper will compare the estimated conditional variance on the two markets.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1059805Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1085
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