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dc.contributor.authorBrunetti, Celso
dc.date.accessioned2007-08-15T08:17:53Z
dc.date.available2007-08-15T08:17:53Z
dc.date.issued1999
dc.identifier.urihttp://hdl.handle.net/1842/1866
dc.description.abstractThis paper investigates long term dependence in commodity futures markets. Using daily futures returns on cocoa, coffee and sugar, we show that FIGARCH models are able to adequately describe both the long and short run characteristics of commodity market volatility. The paper also considers three measures of risk - squared returns, absolute returns and intraday volatility - and finds that they exhibit the long memory property. Intraday volatility shows the strongest auto correlation structure. Moreover, there is evidence of the so-called "Taylor effect". Key Words: long memory, fractional differentiating; ARFIMA; FIGARCH; squared returns; absolute returns; Taylor effect; intraday volatility.en
dc.format.extent265505 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherManagement School and Economics. The University of Edinburghen
dc.relation.ispartofseriesCFMRen
dc.relation.ispartofseries99.04en
dc.subjectEconomicsen
dc.titleLong Memory, the 'Taylor Effect' and Intraday Volatility in Commodity Futures Marketsen
dc.typeWorking Paperen


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