Skip to search formSkip to main contentSkip to account menu
DOI:10.2139/ssrn.229795 - Corpus ID: 14122669
@article{Wei2000AgriculturalFP, title={Agricultural Futures Prices and Long Memory Processes}, author={Anning Wei and Raymond M. Leuthold}, journal={Agricultural \& Natural Resource Economics}, year={2000}, url={https://api.semanticscholar.org/CorpusID:14122669}}
- Anning Wei, R. Leuthold
- Published 1 April 2000
- Agricultural and Food Sciences, Economics
- Agricultural & Natural Resource Economics
Price series that are 21.5 years long for six agricultural futures markets, corn, soybeans, wheat, hogs, coffee, and sugar, exhibit time-varying volatility, carry long-range dependence, and portray excessive skewness and kurtosis, though they are covariance stationary. This suggests that the series contain nonlinear dynamics. ARCH and long memory are the two stochastic nonlinear models that are able to produce these symptoms. Though standard ARCH tests suggest that all series might contain ARCH…
14 Citations
6
1
14 Citations
- G. PowerC. Turvey
- 2007
Economics, Agricultural and Food Sciences
Long memory, and more precisely fractionally integration, has been put forward as an explanation for the persistence of shocks in a number of economic time series data as well as to reconcile…
- 1
- S. KovácsPrasert ChaitipC. ChaiboonsriP. Balogh
- 2012
Economics, Agricultural and Food Sciences
The present study investigates the long memory property of market pig prices. Simply knowing that these time series have long term dependence could have strong significance when forecasting prices.…
- PDFSee AlsoEstimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility | Semantic Scholar[PDF] Price Volatility Forecast for Agricultural Commodity Futures: The Role of High Frequency Data | Semantic ScholarCausality in Relation to Futures and Cash Prices in the Wheat Market
- P. Dawson
- 2011
Economics
The efficient market hypothesis, where asset prices follow a random walk and incorporate all relevant information, is often invoked in financial economics. There is some evidence however to suggest…
- 5
- PDF
- R. CastellanoR. CerquetiG. Rotundo
- 2020
Environmental Science, Economics
Ann. Oper. Res.
The theoretical results suggest that the single terms of the index drive the long memory of the overall aggregation; moreover, interestingly, the proper selection of the parameters of the model might lead both to cases of persistence and antipersistence.
- 36
- PDF
- R. CastellanoR. CerquetiG. Rotundo
- 2018
Environmental Science, Economics
Annals of Operations Research
This paper introduces a new temperature index, which can suitably represent the underlying of a weather derivative. Such an index is defined as the weighted mean of daily average temperatures…
- PDF
- H. JinDarren L. Frechette
- 2004
Agricultural and Food Sciences, Economics
This article tests whether the volatility of agricultural futures prices exhibits fractional integration. Volatility series were constructed for fourteen agricultural futures price series with over…
- 87
- S. KovácsL. HuzsvaiP. Balogh
- 2014
Agricultural and Food Sciences, Economics
A B S T R A C T Within the scope of this study we test the Long Memory property on monthly average pig market prices including piglet, young pig, sow and slaughter pig. We also calculate the Hurst…
- 3
- PDF
- Shengwu Du
- 2005
Economics, Business
Commodity futures can supply fair investment return and unique diversification benefits to a portfolio manager. The relative performance between commodity futures and traditional financial assets is…
- 3
- Xin SuYi WangShengsen DuanJunhai Ma
- 2014
Agricultural and Food Sciences
Entropy
There is chaos in agricultural wholesale price data, which provides a good theoretical basis for selecting reasonable forecasting models as prediction techniques based on chaos theory can be applied to forecasting agricultural prices.
- 26
- PDF
- R. CerquetiG. Rotundo
- 2014
Economics, Computer Science
The aim of this paper is to review a few techniques—though the most relevant in the authors' opinion—for studying the long-term memory as emergent property of systems composed by heterogeneous agents.
- PDF
...
...
62 References
- Anning WeiR. Leuthold
- 1998
Agricultural and Food Sciences, Economics
Price series that are 21.5 years long for six agricultural futures markets, corn, soybeans, wheat, hogs, coffee and sugar, possess characteristics consistent with nonlinear dynamics. Three nonlinear…
- 42
- PDF
- A. Lo
- 1989
Economics
A test for long-run memory that is robust to short-range dependence is developed. It is a simple extension of Mandelbrot's "range over standard deviation" or R/S statistic, for which the relevant…
- 2,031
- Highly Influential
- PDF
- Seung‐Ryong YangB. Brorsen
- 1992
Economics, Mathematics
Daily cash price changes are not normally distributed. Their empirical distributions have fat tails and most are skewed. In addition, they are not independent. Among the diffusion-jump, extended…
- 114
- Edgar E. Peters
- 1989
Economics, Mathematics
The much-touted randomness of stock and bond market returns masks an underlying fractal structure. That is, there are patterns, or trends, in capital market returns, and they persist over time and…
- 181
- Highly Influential
- Yin-Wong CheungK. Lai
- 1993
Economics
This study examines the long memory behavior in gold returns during the post-Bretton Woods period using a new rescaled range technique. Unlike the conventional rescaled range analysis, the new…
- 112
- PDF
- T. BollerslevR. ChouKenneth F. Kroner
- 1992
Economics, Business
- 4,324
- F. Scacciavillani
- 1994
Economics
This paper is an empirical study of the links between monetary variables and inflation based on Cagan's equation and its rational expectations solution, when the forcing variable is a fractionally…
- 7
- Anil K. BeraM. Higgins
- 1993
Economics
The aim of this survey paper is to provide an account of some of the important developments in the autoregressive conditional heteroskedasticity (ARCH) model since its inception in a seminal paper by…
- 871
- P. Phillips
- 1986
Economics
This Paper Proposes Some New Tests for Detecting the Presence of a Unit Root in Quite General Time Series Modesl. Our Approach Is Nonparametric with Respect to Nuisance Parameters and Thereby Allows…
- 18,289
- PDF
- Hsing FangK. LaiMichael Lai
- 1994
Economics, Mathematics
Financial economists always strive for better understanding of the market dynamics of financial prices and seek improvement in modeling them. Although there have been many studies devoted to analyze…
- 104
- Highly Influential
- PDF
...
...
Related Papers
Showing 1 through 3 of 0 Related Papers