Using Futures Prices and Analysts’ Forecasts to Estimate Agricultural Commodity Risk Premiums

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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Bibliographic Details
Main Authors: Gonzalo Cortazar, Hector Ortega, José Antonio Pérez
Format: Article
Language:English
Published: MDPI AG 2025-01-01
Series:Risks
Subjects:
futures
risk premium
analysts’ forecasts
commodities
Online Access:https://www.mdpi.com/2227-9091/13/1/9
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