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Long memory, and more precisely fractionally integration, has been put forward as an explanation for the persistence of shocks in a number of economic time series data as well as to reconcile misleading findings of unit roots in data that should be stationary. Recent evidence suggests that long...
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Land is the most important agricultural asset. Income risk due to farmland price volatility creates economic hardship for rural communities. Although inflation explains much of the farmland valuation problem, it remains to some extent a puzzle. We use wavelet-based statistical methods supported...
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Commodity futures have long been used to facilitate risk management and inventory stabilization. The study of commodity futures prices has attracted much attention in the literature because they are highly volatile and because commodities represent a large proportion of the export value in many...
Persistent link: https://www.econbiz.de/10010591032
Long memory, and more precisely fractionally integration, has been put forward as an explanation for the persistence of shocks in a number of economic time series data as well as to reconcile misleading findings of unit roots in data that should be stationary. Recent evidence suggests that long...
Persistent link: https://www.econbiz.de/10005522223
Both prices and the volatility of storable agricultural commodity futures contracts have been rising since 2005 and particularly since 2007. This paper aims to answer two principal questions: (i) How has the behavior of these futures prices over time and across maturities changed with the rise...
Persistent link: https://www.econbiz.de/10005525102