Measuring the risk-adjusted performance of selected soft agricultural commodities
Author:
Publisher
Czech Academy of Agricultural Sciences
Subject
General Economics, Econometrics and Finance,Agricultural and Biological Sciences (miscellaneous)
Link
http://agricecon.agriculturejournals.cz/doi/10.17221/298/2021-AGRICECON.pdf
Reference17 articles.
1. Forecasting value-at-risk with two-step method: GARCH-exponentiated odd log-logistic normal model;Altun;Romanian Journal of Economic Forecasting,2017
2. Sugar Futures as an Investment Alternative During Market Turmoil: Case Study of 2008 and 2020 Market Drop
3. A Note on the Use of Modified Value-at-Risk
4. A value‐at‐risk computation based on heavy‐tailed distribution for dynamic conditional score models
5. Mean-Modified Value-at-Risk Optimization with Hedge Funds
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