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Evidence of chaos in commodity futures prices

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  • Gregory P. Decoster
  • Walter C. Labys
  • Douglas W. Mitchell

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  • Gregory P. Decoster & Walter C. Labys & Douglas W. Mitchell, 1992. "Evidence of chaos in commodity futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(3), pages 291-305, June.
    • Handle: RePEc:wly:jfutmk:v:12:y:1992:i:3:p:291-305
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    Cited by:

    1. Paul Brockman & Mustafa Chowdhury, 1997. "Deterministic versus stochastic volatility: implications for option pricing models," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 499-505.
    2. Mishra, Ritesh Kumar & Sehgal, Sanjay & Bhanumurthy, N.R., 2011. "A search for long-range dependence and chaotic structure in Indian stock market," Review of Financial Economics, Elsevier, vol. 20(2), pages 96-104, May.
    3. Hales, John William, 1994. "Forecasting live hog futures using technical analysis," ISU General Staff Papers 1994010108000017636, Iowa State University, Department of Economics.
    4. Marisa Faggini & Bruna Bruno & Anna Parziale, 2019. "Does Chaos Matter in Financial Time Series Analysis?," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 18-24.
    5. Huang Xiaowei & Yu Mei & Ban Chengwei, 2014. "Nonlinear Dynamics of International Gold Prices: Conditional Heteroskedasticity or Chaos?," Journal of Systems Science and Information, De Gruyter, vol. 2(5), pages 411-427, October.
    6. Tancrède Voituriez, 1998. "Dynamique non linéaire du marché mondial des huiles et des graisses," Économie rurale, Programme National Persée, vol. 243(1), pages 22-29.
    7. Mastroeni, Loretta & Vellucci, Pierluigi & Naldi, Maurizio, 2018. "Co-existence of stochastic and chaotic behaviour in the copper price time series," Resources Policy, Elsevier, vol. 58(C), pages 295-302.
    8. Costas Siriopoulos & Alexandros Leontitsis, 2002. "Nonlinear Noise Estimation in International Capital Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(1), pages 43-63, March.
    9. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Department of Economics, Working Paper Series qt1n04g31b, Department of Economics, UC Santa Cruz.
    10. Jin, Hyun Joung & Frechette, Darren L., 2002. "Fractal Geometry In Agricultural Cash Price Dynamics," 2002 Annual meeting, July 28-31, Long Beach, CA 19696, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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