Connor, Jeff; Rossiter, Rosemary - In: Studies in Nonlinear Dynamics & Econometrics 9 (2007) 1, pp. 1170-1170
Traders in commodity markets may have different time horizons. This paper uses a scale analysis to investigate heterogeneous trading in such markets. Estimates are presented for price correlations by scale and long memory in the volatility of commodity prices. Wavelet variance is estimated using...
