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Persistence, Long Memory, and Unit Roots in Commodity Prices

Author

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  • Luis A. Gil-Alana
  • Juncal Cunado
  • Fernando Pérez de Gracia

Abstract

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Suggested Citation

  • Luis A. Gil-Alana & Juncal Cunado & Fernando Pérez de Gracia, 2012. "Persistence, Long Memory, and Unit Roots in Commodity Prices," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 60(4), pages 451-468, December.
    • Handle: RePEc:bla:canjag:v:60:y:2012:i:4:p:451-468
    DOI: j.1744-7976.2012.01253.x
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    File URL: http://hdl.handle.net/10.1111/j.1744-7976.2012.01253.x
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    Cited by:

    1. Matteo Bonato & Oğuzhan Çepni & Rangan Gupta & Christian Pierdzioch, 2023. "El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 785-801, July.
    2. Manuel Monge & Ana Lazcano, 2022. "Commodity Prices after COVID-19: Persistence and Time Trends," Risks, MDPI, vol. 10(6), pages 1-20, June.
    3. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2023. "Financial Stress and Realized Volatility: The Case of Agricultural Commodities," Working Papers 202320, University of Pretoria, Department of Economics.

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