Fractional integration in commodity futures returns

Financial Review

Volumn 44, Issue 4, 2009, Pages 583-602

  Elder, John ^a   Jin, Hyun J ^b  

^a Veterinary Dentistry and Oral Surgery   (United States)

^b Chung Ang University   (South Korea)

Author keywords

Fractional integration; Futures returns; Long memory; Wavelets

Indexed keywords

EID: 84991396604     PISSN: 07328516     EISSN: 15406288     Source Type: Journal    
DOI: 10.1111/j.1540-6288.2009.00231.x     Document Type: Article

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