Fractional integration in agricultural futures price volatilities

American Journal of Agricultural Economics

Volumn 86, Issue 2, 2004, Pages 432-443

  Jin, Hyun J ^a   Frechette, Darren L ^b  

^a NORTH DAKOTA STATE UNIVERSITY   (United States)

^b PENNSYLVANIA STATE UNIVERSITY   (United States)

Author keywords

Conditional volatility; Fractional integration; Long term memory; Rescaled range

Indexed keywords

AGRICULTURAL PRODUCTION; FUTURE PROSPECT; PRICE DYNAMICS; THEORETICAL STUDY;

EID: 2142640420     PISSN: 00029092     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0092-5853.2004.00589.x     Document Type: Article

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