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A note on tests for partial parameter instability in the trend stationary model

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Using time series analysis in specifying an econometric model : the case for Taiwan hogs

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Forecasting fed cattle, feeder cattle, and corn cash price volatility : the accuracy of time series, implied volatility, and composite approaches

Manfredo, Mark R.; Leuthold, Raymond M.; Irwin, Scott H. - In: Journal of agricultural and applied economics 33 (2001) 3, pp. 523-538

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Agricultural Futures Prices and Long Memory Processes

Wei, Anning; Leuthold, Raymond M. - 2000

Price series that are 21.5 years long for six agricultural futures markets, corn, soybeans, wheat, hogs, coffee, and sugar, exhibit time-varying volatility, carry long-range dependence, and portray excessive skewness and kurtosis, though they are covariance stationary. This suggests that the...

Persistent link: https://www.econbiz.de/10014155331