๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Memory in commodity futures contracts: A comment

โœ 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

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Memory in commodity futures contracts
โœ Billy P. Helms; Fred R. Kaen; Robert E. Rosenman ๐Ÿ“‚ Article ๐Ÿ“… 1984 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 451 KB

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

Long memory in commodity futures volatil
โœ John Elder; Hyun J. Jin ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 451 KB

## 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

A note on the design of commodity option
โœ Robert McDonald; Daniel Siegel ๐Ÿ“‚ Article ๐Ÿ“… 1983 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 241 KB ๐Ÿ‘ 1 views

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