his article tests the hypothesis that price changes for a selected number of T commodity futures contracts are independent of previous price changes. The statistical procedure used to perform this test is called rescaled range analysis and is capable of identifying persistent or irregular cyclic dep
Memory in commodity futures contracts: A comment
โ Scribed by Nicholaos T. Milonas; Peter E. Koveos; G. Geoffrey Booth
- Publisher
- John Wiley and Sons
- Year
- 1985
- Tongue
- English
- Weight
- 132 KB
- Volume
- 5
- Category
- Article
- ISSN
- 0270-7314
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๐ SIMILAR VOLUMES
## Abstract The authors reexamine the volatility of agricultural commodity futures for evidence of fractional integration, providing new empirical results and extending the extant literature in important dimensions. First, they utilize two relatively new estimators based on wavelets, which are gene
n his note in the spring 1982 issue of this journal, Asay (1982) discusses the I pricing of commodity option contracts. The purpose of his note is to introduce the idea of a "futures" option, which, like a standard futures contract, requires no money up-front and is "marked to market" at the end of