Principal component volatility analysis in agricultural commodity futures

Anthony Rezitis

Applied Economics Letters, 2020, vol. 27, issue 16, 1327-1333

Abstract: In this article, we apply Hu and Tsay’s (2014) principal component volatility (PVC) analysis to the weekly log returns of nine agricultural commodity futures from May 2005 to March 2019. The empirical results yield nine estimated PVC processes, one of which has no ARCH effects according to the statistical tests.

Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2019.1678727 (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: https://EconPapers.repec.org/RePEc:taf:apeclt:v:27:y:2020:i:16:p:1327-1333

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2019.1678727

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().