volume 55, issue 3, P515-532 2017
DOI: 10.1590/1234-56781806-94790550306
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Abstract: Abstract:This study explores different procedures to estimate price risk in commodity markets. Focusing on Brazilian agricultural markets, the paper proposes to assess both dispersion and downside risk measures using five different approaches (volatility, coefficient of variation, lower partial moments, value at risk and conditional value at risk). Results suggest that some commodities have large price variability but small downside risk, while other commodities show small price variability and large downside…

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