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Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence
16 references·0 citing·33 second hop
Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence (2009)Long-range dependence in the volatility o…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…How Profitable Is Capital Structure Arbitrage? (2006)How Profitable Is Capital Str…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Time-dependent Hurst exponent in financial time series (2004)Time-dependent Hurst exponent…Multifractal properties of price fluctuations of stocks and commodities (2003)Multifractal properties of pr…An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…A wavelet-based joint estimator of the parameters of long-range dependence (1999)A wavelet-based joint estimat…Wavelet analysis of long-range-dependent traffic (1998)Wavelet analysis of long-rang…Real and Spurious Long-Memory Properties of Stock-Market Data (1998)Real and Spurious Long-Memory…Determination of the Hurst exponent by use of wavelet transforms (1998)Determination of the Hurst ex…The variation of certain speculative prices (1997)The variation of certain spec…A Theory of Commodity Price Fluctuations (1996)A Theory of Commodity Price F…Storage and Commodity Markets. (1992)Storage and Commodity Markets.Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Fractional Brownian Motions, Fractional Noises and Applications (1968)ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)Statistics for Long-Memory Processes. (1996)A multifractal wavelet model with application to network traffic (1999)Stock market prices and long-range dependence (1999)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)The Fundamentals of Commodity Futures Returns (2012)Financialization of Commodity Markets (2013)Momentum crashes (2016)Fractional Differencing (1981)Bootstrap for Empirical Multifractal Analysis (2007)Fractal Time Series—A Tutorial Review (2009)Interaction-dominant dynamics in human cognition: Beyond 1/ƒα fluctuation. (2010)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)“Options, Futures, and Other Derivatives” (2016)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)International comovement of stock market returns: A wavelet analysis (2009)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Projection methods for solving aggregate growth models (1992)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Can Exchange Rates Forecast Commodity Prices? * (2010)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The econometrics of financial markets (1996)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,072 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 1998Wavelet analysis of long-range-dependent traffic957 cited
  • 1992Storage and Commodity Markets.673 cited
  • 1999A wavelet-based joint estimator of the parameters of long-range dependence511 cited
  • 2006How Profitable Is Capital Structure Arbitrage?476 cited
  • 2004Time-dependent Hurst exponent in financial time series403 cited
  • 2003Multifractal properties of price fluctuations of stocks and commodities343 cited
  • 1998Real and Spurious Long-Memory Properties of Stock-Market Data327 cited
  • 1998Determination of the Hurst exponent by use of wavelet transforms277 cited
  • 1996A Theory of Commodity Price Fluctuations

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