Persistence, Long Memory, and Unit Roots in Commodity Prices
✍ Scribed by Luis A. Gil-Alana; Juncal Cunado; Fernando Pérez de Gracia
- Book ID
- 114842648
- Publisher
- John Wiley and Sons
- Year
- 2012
- Tongue
- English
- Weight
- 728 KB
- Volume
- 60
- Category
- Article
- ISSN
- 0008-3976
No coin nor oath required. For personal study only.
📜 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
## Abstract Much published data is subject to a process of revision due, for example, to additional source data, which generates multiple vintages of data on the same generic variable, a process termed the data measurement process or DMP. This article is concerned with several interrelated aspects