Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 1, 2010, Pages 79-90

  Power, Gabriel J ^a   Turvey, Calum G ^b  

^a TEXAS A AND M UNIVERSITY   (United States)

^b Department of Molecular Biology and Genetics   (United States)

Author keywords

Commodity futures; Hurst; Long range dependence; Volatility; Wavelets

Indexed keywords

AGRICULTURAL ROBOTS; AGRICULTURE; COSTS; DEVELOPING COUNTRIES; RISK MANAGEMENT; STOCHASTIC SYSTEMS;

COMMODITY FUTURES; HURST; LONG RANGE DEPENDENCE; VOLATILITY; WAVELETS;

FINANCIAL MARKETS;

EID: 70349472912     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.08.037     Document Type: Article

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