Fractional integration in agricultural futures price volatilities revisited

Peter Sephton ()

Agricultural Economics, 2009, vol. 40, issue 1, pages 103-111

Abstract: Jin and Frechette (2004) examined the degree to which agricultural price volatilities exhibited evidence of fractional integration and concluded it was important to consider both long-run and short-run memory when modeling conditional variances. The purpose of this note is to revisit the issue using new methods and techniques which generally reaffirm the view that return volatilities are fractionally integrated and conditionally heteroskedastic, with many exhibiting significant leverage effects, a result not previously reported. Copyright (c) 2009 International Association of Agricultural Economists.

Date: 2009

Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1574-0862.2008.00363.x link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:agecon:v:40:y:2009:i:1:p:103-111

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0169-5150

Access Statistics for this article

Agricultural Economics is edited by W.A. Masters and G.E. Shively

More articles in Agricultural Economics from International Association of Agricultural Economists
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().