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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
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14 Citations
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- R. CastellanoR. CerquetiG. Rotundo
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- H. JinDarren L. Frechette
- 2004
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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…
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- 2014
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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…
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- 2005
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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.
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62 References
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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…
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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…
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Economics, Mathematics
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Economics, Mathematics
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