Fractional dynamics in international commodity prices

Barkoulas, John; Labys, Walter C.; Onochie, Joseph I.

doi:10.1002/(sici)1096-9934(199704)17:2<161::aid-fut2>3.0.co;2-h

Cited by 79 publications

(30 citation statements)

References 39 publications

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“…However, in the literature to date, there have been few applications of the fractionally integrated GARCH class models to commodity futures markets. Barkoulas et al (1997) examined the fractional structure of commodities spot prices, namely aluminum, cocoa, coffee, copper, rice and rubber. They found that some commodity spot price time series display a fractional structure, and the fractional orders vary among these commodities because the processes involved in the price movements of each commodity varies.…”

Section: Introductionmentioning

confidence: 99%

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

2009

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This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the FIGARCH model of Baillie et al. (1996), FIEGARCH model of Bollerslev and Mikkelsen (1996), and

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Section: Introductionmentioning

confidence: 99%

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

2009

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“…Several other authors such as Larrain [28], Lo [29], Barkoulas [30], Richards [31], Panas [32] and more recently Di Matteo [33], among others, reached the conclusion that all global financial markets presented scale symmetry, with fractal characteristics, as well as the methodologies usually used to control risk, based on the standard deviation, were not efficient and able to provide a good classification.…”

Section: A Analysis Of the Evidence Of Fractals In The Financial Seriesmentioning

confidence: 99%

Application of Hurst Exponent (H) and the R/S Analysis in the Classification of FOREX Securities

Raimundo¹,

Okamoto²

2018

IJMO

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“…Kohzadi & Boyd (1995), Barkoulas, Labys & Onochie (1997), Jin & Frechette (2004), Kovacs, Huszsvai & Balogh (2014) are few examples of them. Stigler & Prakash (2011) have examined time series properties of commodity prices using 24 commodities for developed countries.…”

Section: Literature Reviewmentioning

confidence: 99%

Is Food Price Inflation Transitory? Empirical Evidence from Sri Lanka

Sivarajasingham¹,

Applanaidu²

2015

ASS

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Food prices are excluded from core measures of inflation in many countries assuming food prices are transitory. Exclusion of food prices may lead to information loss, leading to higher inflationary expectations, a downward bias to forecasts of future inflation and lags in policy responses. Assumption that log food price series behave by way of I(1) and differenced log food price series linger in the manner of I(0) process leads to model misspecification. Correct identification of the memory in the food price series is vital for the correct model specification and is important for policy makers. This study aims to examine whether food price inflation is transitory in Sri Lanka by estimating the memory properties of food price series using non-parametric, semi-parametric and parametric tests. The study covers the period from January, 2003 to December, 2013. Results show that food price inflation, nonfood price inflation and headline inflation, and global food price inflation series are fractionally integrated. Food price series in Sri Lanka commoves with global food prices. Research findings show that food price inflation is not transitory, long memory series. The outcomes of this attempt have consequential implications towards food policy, trade policy and monetary policy makers. These findings suggest that neglecting food prices may render the core inflation measure a biased measure of long run inflation.

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Fractional dynamics in international commodity prices

Cited by 79 publications

References 39 publications

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Application of Hurst Exponent (H) and the R/S Analysis in the Classification of FOREX Securities

Is Food Price Inflation Transitory? Empirical Evidence from Sri Lanka

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