Using Futures Prices and Analysts’ Forecasts to Estimate Agricultural Commodity Risk Premiums
This paper presents a novel 5-factor model for agricultural commodity risk premiums, an approach not explored in previous research. The model is applied to the specific cases of corn, soybeans, and wheat. Calibration is achieved using a Kalman filter and maximum likelihood, with data from futures ma...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-01-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/13/1/9 |
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