158
Views
8
CrossRef citations to date
0
Altmetric
Original Articles

A new t-test for the R/S analysis and long memory in agricultural commodity prices

&
Pages 661-667 | Published online: 21 Aug 2006

References

References

  • Andrews , D . 1991 . Heteroskedasticity and autocorrelation consistent covariance matrix estimation . Econometrica , 59 : 817 – 58 .
  • Baillie , RT and Bollerslev , T . 1994 . The long-memory of the forward premium . Journal of International Money and Finance , 13 : 565 – 71 .
  • Baillie , RT , Bollerslev , T and Mikkelsen , HO . 1996 . Fractionally integrated generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 73 : 5 – 59 .
  • Barkoulas , J , Labys , WC and Onochie , J . 1997 . Fractional dynamics in international commodity prices . The Journal of Futures Markets , 17 ( 2 ) : 161 – 89 .
  • Bollerslev , T and Mikkelsen , HO . 1996 . Modeling and pricing long memory in stock market volatility . Journal of Econometrics , 73 : 151 – 84 .
  • Breidt , FJ , Crato , N and de Lima , P . 1998 . The detection and estimation of long memory in stochastic volatility . Journal of Econometrics , 83 : 325 – 48 .
  • Chambers , MJ and Bailey , RE . 1996 . A theory of commodity price fluctuations . Journal of Political Economics , 104 ( 5 ) : 924 – 57 .
  • Cheng , P and Deets , M . 1971 . Portfolio returns and the random walk theory . Journal of Finance , 26 : 11 – 30 .
  • Cheung , Y and Lai , KS . 1995 . A search for long memory in international stock market returns . Journal of International Money and Finance , 14 ( 4 ) : 597 – 615 .
  • Cogley , T . 1990 . International evidence on the size of the random walk in output . The Journal of Political Economy , 98 ( 3 ) : 501 – 18 .
  • Corazza , M , Malliaris , AG and Nardelli , C . 1997 . Searching for fractal structure in agricultural futures markets . The Journal of Futures Markets , 17 ( 4 ) : 433 – 73 .
  • Decoster , GP , Labys , WC and Mitchell , DW . 1992 . Evidence of chaos in commodity futures prices . The Journal of Futures Markets , 12 ( 3 ) : 291 – 305 .
  • Fama , E . 1965 . The behavior of stock market prices . Journal of Business , 38 : 34 – 105 .
  • Fung , H and Lo , W . 1993 . Memory in interest rate futures . Journal of Futures Markets , 13 ( 8 ) : 865 – 72 .
  • Fung , H , Lo , W and Peterson , JE . 1994 . Examining the dependency in intra-day stock index futures . The Journal of Futures Markets , 14 ( 4 ) : 405 – 19 .
  • Geweke , J and Porter-Hudak , S . 1983 . The estimation and application of long memory time series models . The Journal of Time Series Analysis , 4 ( 4 ) : 221 – 38 .
  • Granger , CW and Joyeaux , R . 1980 . An introduction to long-memory time series models and fractional differencing . The Journal of Time Series Analysis , 1 ( 1 ) : 15 – 29 .
  • Greene , MT and Fielitz , BD . 1977 . Long-term dependence in common stock returns . Journal of Financial Economics , 4 : 339 – 49 .
  • Hall , JA , Brorsen , BW and Irwin , SH . 1989 . The distribution of futures prices: a test of the stable paretian and mixture of normal hypotheses . Journal of Financial and Quantitative Analysis , 21 ( 1 ) : 105 – 16 .
  • Helms , BP and Martell , TF . 1985 . An examination of the distribution of futures price changes . The Journal of Futures Markets , 5 ( 2 ) : 259 – 72 .
  • Hosking , JR . 1981 . Fractional differencing . Biometrika , 68 : 165 – 76 .
  • Hsieh , DA . 1989 . Testing for nonlinear dependence in daily foreign exchange rate changes . Journal of Business , 62 : 339 – 68 .
  • Hurst , HE . 1951 . The long-term dependence in stock returns . Transactions of the American Society of Civil Engineers , 116 : 770 – 99 .
  • Kohzadi , N and Boyd , MS . 1995 . Testing for chaos and nonlinear dynamics in cattle prices . Canadian Journal of Agricultural Economics , 43 ( 6 ) : 475 – 84 .
  • Kwiatkowski , D , Phillips , P , Schmidt , P and Shin , Y . 1992 . Testing the null of stationarity against the alternative of a unit root . Journal of Econometrics , 54 : 159 – 78 .
  • Lo , AW . 1991 . Long-term memory in stock market prices . Econometrica , 59 ( 5 ) : 1279 – 313 .
  • Mandelbrot , BB . 1963a . The variation of certain speculative prices . Journal of Business , 36 : 394 – 419 .
  • Mandelbrot , BB . 1963b . New methods in statistical economics . Journal of Political Economy , 71 ( 5 ) : 421 – 40 .
  • Mandelbrot , BB . 1972 . Statistical methodology for non-periodic cycles: from the covariance to R/S analysis . Annals of Economic and Social Measurement , 1 : 259 – 50 .
  • Mandelbrot , BB and van Ness , JW . 1968 . Fractional Brownian motions, fractional noises, and applications . SIAM Review , 10 : 422 – 37 .
  • Mandelbrot , BB and Wallis , JR . 1969 . Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence . Water Resource Research , 5 : 228 – 67 .
  • Mandelbrot BB Taqqu MS 1979 Robust R/S analysis of long run serial correlation lecture presented at the International Statistical Institute 42nd Session Manila
  • Mercer , A and Smith , CS . 1959 . A random walk in which the steps occur randomly in time . Biometrika , 46 ( 1 ) : 30 – 5 .
  • Pan , M , Liu , YA and Bastin , H . 1996 . An examination of the short-term and long-term behavior of foreign exchange rates . The Financial Review , 31 : 603 – 22 .
  • Peters EE 1994 Fractal Market Analysis, John Wiley & Sons New York
  • Sunder , S . 1992 . Market for information: experimental evidence . Econometrica , 60 : 667 – 95 .
  • Williams J Wright B 1991 Storage and Commodity Markets, Cambridge University Press Cambridge UK

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.