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

Stephen J. Taylor and Brian G. Kingsman

Journal of Financial and Quantitative Analysis, 1977, vol. 12, issue 5, 883-890

Abstract: Time series techniques based on autocovariance and spectral analysis methods have often been used for statistical analyses of commodity and stock prices, with the usual conclusion that the prices, zt, are best described by a random walk:where the errors, ut (alternatively called shocks or residuals), have zero expectation and form a sequence of independent random variables [5 and 8 ].

Date: 1977
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