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Fractional Integration in Commodity Futures Returns

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Author Info

  • John Elder
  • Hyun J. Jin

Abstract

We reexamine commodity futures returns for evidence of fractional integration utilizing two estimators based on wavelets. We summarize basic wavelet methods for signal processing and decompose commodity futures returns by wavelet scale. We find the evidence for long memory is not conclusive based on visual inspection of the wavelet decomposition, but formal statistical tests suggest evidence of long memory, in the form of antipersistence, in about half of agricultural commodity futures. We find little evidence of long memory in metal futures. Our results are useful in interpreting previous disparate findings based on frequency domain estimators. Copyright (c) 2009, The Eastern Finance Association.

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Bibliographic Info

Article provided by Eastern Finance Association in its journal Financial Review.

Volume (Year): 44 (2009)
Issue (Month): 4 (November)
Pages: 583-602

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Handle: RePEc:bla:finrev:v:44:y:2009:i:4:p:583-602

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Web page: http://www.easternfinance.org/
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Cited by:
  1. 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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