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    • Modelling Long Memory Volatility in Agricultural Commodity Futures Returns 

      Chang, C-L.; McAleer, M.; Tansuchat, R. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2012)
      This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, ...