THE STABLE DISTRIBUTION OF AGRICULTURAL CASH PRICE CHANGES

영문 제목
THE STABLE DISTRIBUTION OF AGRICULTURAL CASH PRICE CHANGES
저자
진현정
출판년도
2005-01
초록
The Gaussian assumption is easy to apply to economic analyses and many of its properties have been revealed to economists so that the distributional hypothesis has been embraced in economic and financial analyses, despite the fact that empirical evidences show distinct anomalies from the normal distribution. This study shows that the distributions of major U.S. agricultural commodity cash price changes are significantly different from normality. They have fatter tails and hither peaks than the normal distribution. The leptokurtic behaviors of the cash price changes are effectively captured by the stable distribution rather than the normal distribution. At the same time, when real data correspond to the stable distribution, variance may not be an effective scale parameter of the data. This raises a necessity of finding other alternatives to the traditional second moment.
The Gaussian assumption is easy to apply to economic analyses and many of its properties have been revealed to economists so that the distributional hypothesis has been embraced in economic and financial analyses, despite the fact that empirical evidences show distinct anomalies from the normal distribution. This study shows that the distributions of major U.S. agricultural commodity cash price changes are significantly different from normality. They have fatter tails and hither peaks than the normal distribution. The leptokurtic behaviors of the cash price changes are effectively captured by the stable distribution rather than the normal distribution. At the same time, when real data correspond to the stable distribution, variance may not be an effective scale parameter of the data. This raises a necessity of finding other alternatives to the traditional second moment.
목차
I. IntroductionII. A Brief Review of the Stable DistributionIII. DataIV. Empirical ResultsV. Conclusions
I. IntroductionII. A Brief Review of the Stable DistributionIII. DataIV. Empirical ResultsV. Conclusions
서지인용
page. 177 - 195
발행처
The North Dakota State University
주제어
Leptokurticity; the Normal Distribution; the Stable Distribution; Scale Parameter; Leptokurticity; the Normal Distribution; the Stable Distribution; Scale Parameter
발간물 유형
KREI 논문
URI
http://repository.krei.re.kr/handle/2018.oak/18223
Appears in Collections:
학술지 논문 > 농촌경제 / JRD
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