@article{Fousekis:330599,
      recid = {330599},
      author = {Fousekis, Panos },
      title = {Price co-movement and the hedger's value-at-risk in the  futures markets for coffee},
      journal = {Agricultural Economics Review},
      address = {2017-01},
      number = {875-2023-310},
      year = {2017},
      abstract = {This work investigates the strength and the pattern of  co-movement between the futures price of the Arabica coffee  (traded in New York) and the futures price of the Robusta  coffee (traded in London) and obtains forecasts for the  Value-at-Risk (VaR) for a commercial trader. The empirical  analysis relies of the statistical tool of copulas and on  daily observations from 2006 to 2016. According to the  empirical results, co-movement is symmetric with respect to  sign but is asymmetric with respect to size. The  Value-at-Risk ranges from -7 percent to -3 percent,  depending on the level of confidence employed.},
      url = {http://ageconsearch.umn.edu/record/330599},
      doi = {https://doi.org/10.22004/ag.econ.330599},
}