Quantitative finance for agricultural commodities: discussion and extension

Gabriel Power

Agricultural Finance Review, 2016, vol. 76, issue 1, 27-41

Abstract: Purpose - – The purpose of this paper is to review three papers in this issue and contribute new results on commodity futures prices and volume using wavelet analysis. Design/methodology/approach - – The paper uses time series econometrics including variance ratio tests, fractional integration estimators, and wavelet transforms. Findings - – The role of time horizon is emphasized in the discussion of the three papers, and wavelet methods are shown to be a useful tool to better understand time horizon-specific risk. Moreover, changes in the time horizon of futures trading are documented and discussed. Originality/value - – In addition to discussing three papers on quantitative finance for agricultural commodities, this paper also looks at how the analysis and management of short-term and long-term risk may differ. To this end, wavelet transform-based time series methods are reviewed and applied.

Keywords: Futures; Options; Long memory; CEV; Hurst; Wavelets (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eme:afrpps:v:76:y:2016:i:1:p:27-41

DOI: 10.1108/AFR-02-2016-0013

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