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- W3123854616 abstract "Commodity price behavior holds much interest not only because these markets are affected by waves of speculative activity similar to security markets but more so that these commodities are linked to industries which purchase them and developing country producers which supply them. Commodity spot and future prices have thus been studied extensively. This research extends this work by employing recent fractal approaches to evaluate how the apparent random movements associated with short term behavior can also persist when examining long run behavior. We thus test for the presence of a persistent and finite variance component (i.e. long memory stationary process) as opposed to an infinite variance component (i.e. short memory nonstationary process) in a selected group of international commodity price series. Both fractal and persistent dependence hypotheses and test statistics have been employed. Estimates made of the power law exponent and of the nonintegral or fractional exponent suggest generating processes which are closer to black noise than to white, pink or brown noise." @default.
- W3123854616 created "2021-02-01" @default.
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- W3123854616 date "2001-06-20" @default.
- W3123854616 modified "2023-10-03" @default.
- W3123854616 title "What Color are Commodity Prices? A Fractal Analysis" @default.
- W3123854616 hasPublicationYear "2001" @default.
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