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Fractional integration in agricultural futures price volatilities revisited

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  • Peter S. Sephton

Abstract

Jin and Frechette (2004) examined the degree to which agricultural price volatilities exhibited evidence of fractional integration and concluded it was important to consider both long-run and short-run memory when modeling conditional variances. The purpose of this note is to revisit the issue using new methods and techniques which generally reaffirm the view that return volatilities are fractionally integrated and conditionally heteroskedastic, with many exhibiting significant leverage effects, a result not previously reported. Copyright (c) 2009 International Association of Agricultural Economists.

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Bibliographic Info

Article provided by International Association of Agricultural Economists in its journal Agricultural Economics.

Volume (Year): 40 (2009)
Issue (Month): 1 (01)
Pages: 103-111

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Handle: RePEc:bla:agecon:v:40:y:2009:i:1:p:103-111

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Cited by:
  1. Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2012. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Econometric Institute Research Papers EI 2012-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Karali, Berna & Power, Gabriel J., 2010. "Is commodity price volatility persistent? Another look using improved, full-sample estimates," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61826, Agricultural and Applied Economics Association.

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