Title:

The Pricing of Variance Risks in Agricultural Futures Markets: Do Jumps Matter?

Authors:

Xinyue He (Huazhong Agricultural U)
Siyu Bian (Huazhong Agricultural U)
Teresa Serra (U of Illinois at Urbana-Champaign)

Journal:

European Review of Agricultural Economics

Year:

2023

Volume:

50

Number:

4

Pages:

1428-1452

JEL code:

G13 - Contingent Pricing; Futures Pricing