Comment: “An Autoregressive Forecast of the World Sugar Future Option Market”

O. D. Anderson

Journal of Financial and Quantitative Analysis, 1977, vol. 12, issue 5, 879-881

Abstract: I was interested to read Meyer and Kim [5], where I learned a little about sugar futures, but regret to say that I found the attempted Box-Jenkins analysis singularly lacking in expertise. It is my intention, here, to discuss a few of its most obvious shortcomings. My list will not be exhaustive, but will include just five points.

Date: 1977
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