Estimation of VaR with jump process: Application in corn and soybean markets Article

Lin, Minglian, SenGupta, Indranil, Wilson, William. (2024). Estimation of VaR with jump process: Application in corn and soybean markets . APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 40(5), 1337-1354. 10.1002/asmb.2880

cited authors

  • Lin, Minglian; SenGupta, Indranil; Wilson, William

sustainable development goals

authors

publication date

  • September 1, 2024

published in

keywords

  • L & eacute;vy measure
  • Mathematics
  • Mathematics, Interdisciplinary Applications
  • Operations Research & Management Science
  • Physical Sciences
  • RISK
  • Science & Technology
  • Statistics & Probability
  • Technology
  • corn and soybean market
  • jump process
  • portfolio
  • value at risk (VaR)

Digital Object Identifier (DOI)

publisher

  • WILEY

start page

  • 1337

end page

  • 1354

volume

  • 40

issue

  • 5