文章基本信息

标题：Impacts of Permanent and Transitory Shocks on Optimal Length of Moving Average to Predict Wheat Basis
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作者：Lee, Yoonsuk ; Brorsen, B. Wade
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：2012
期号：Suppl
出版社：Journal of Agribusiness
摘要：A new stochastic process is introduced where permanent changes occur following a Poisson jump process and temporary changes occur following a normal distribution. The model is estimated using hard wheat basis data and is used to explain why the optimal length of moving average to forecast basis varies over time. The estimated probability of jumps is large and thus the optimal length of moving average is small.
关键词：basis;jump-diffusion process;Monte Carlo simulation