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Is commodity price volatility persistent? Another look using improved, full-sample estimates

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  • Karali, Berna
  • Power, Gabriel J.

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  • 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.
    • Handle: RePEc:ags:aaea10:61826
    DOI: 10.22004/ag.econ.61826
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    References listed on IDEAS

    as
    1. Hyun J. Jin & Darren L. Frechette, 2004. "Fractional Integration in Agricultural Futures Price Volatilities," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(2), pages 432-443.
    2. Smith, Aaron, 2005. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 321-335, July.
    3. John Elder & Hyun J. Jin, 2009. "Fractional Integration in Commodity Futures Returns," The Financial Review, Eastern Finance Association, vol. 44(4), pages 583-602, November.
    4. Berna Karali & Walter N. Thurman, 2009. "Announcement effects and the theory of storage: an empirical study of lumber futures," Agricultural Economics, International Association of Agricultural Economists, vol. 40(4), pages 421-436, July.
    5. Seung-Ryong Yang & B. Wade Brorsen, 1992. "Nonlinear Dynamics of Daily Cash Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 74(3), pages 706-715.
    6. Peter S. Sephton, 2009. "Fractional integration in agricultural futures price volatilities revisited," Agricultural Economics, International Association of Agricultural Economists, vol. 40(1), pages 103-111, January.
    Full references (including those not matched with items on IDEAS)

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