期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 389, 期 1, 页码 79-90出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2009.08.037
关键词
Commodity futures; Volatility; Long-range dependence; Hurst; Wavelets
资金
- CSREES Hatch funds [RI-9262]
Commodity futures have long been used to facilitate risk management and inventory stabilization The study of commodity futures prices has attracted much attention in the literature because they are highly volatile and because commodities represent a large proportion of the export value in many developing countries Previous research has found apparently contradictory findings about the presence of long memory or more generally, long-range dependence This note investigates the nature of long-range dependence in the volatility of 14 energy and agricultural commodity futures price series using the improved Hurst coefficient (H) estimator of Abry, Teyssiere and Veitch This estimator is motivated by the ability of wavelets to detect self-similarity and also enables a test for the stability of H. The results show evidence of long-range dependence for all 14 commodities and of a non-stationary H for 9 of 14 commodities. Published by Elsevier B.V.
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