Fractional Integration in Commodity Futures Returns
30 Pages Posted: 7 Jul 2008 Last revised: 14 Jul 2008
Date Written: July 7, 2008
Abstract
We reexamine commodity futures returns for evidence of fractional integration utilizing two estimators based on wavelets. We summarize basic wavelet methods for signal processing and decompose commodity futures returns by wavelet scale. We find the evidence for long memory is not conclusive based on visual inspection of the wavelet decomposition, but formal statistical tests suggest evidence of long memory, in the form of anti-persistence, in about half of agricultural commodity futures. We find little evidence of long memory in metal futures. Our results are useful in interpreting previous disparate findings based on frequency domain estimators.
Keywords: futures returns, fractional integration, long memory, wavelets
JEL Classification: G10, Q14
Suggested Citation: Suggested Citation
0 References
0 Citations
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997
-
Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets
-
Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data
-
Persistence Characteristics of Latin American Financial Markets
By Nyo Nyo A. Kyaw, Cornelis A. Los, ...
-
The International CAPM and a Wavelet-Based Decomposition of Value at Risk
-
The International CAPM and a Wavelet-Based Decomposition of Value at Risk
-
Long Memory Options: Valuation
By Sutthisit Jamdee and Cornelis A. Los
-
Persistence Characteristics of the Chinese Stock Markets
By Cornelis A. Los and Bing Yu
-
Long-Term Dependence Characteristics of European Stock Indices
By Cornelis A. Los and Joanna M. Lipka