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  • 1
    Electronic Resource
    Electronic Resource
    Springer
    Empirical economics 25 (2000), S. 563-580 
    ISSN: 1435-8921
    Keywords: Key words: Fractal Analysis ; Long-Memory and Persistence ; Commodity Price Colors ; JEL Classification: C22 ; E31 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: 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.
    Type of Medium: Electronic Resource
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  • 2
    Electronic Resource
    Electronic Resource
    Palo Alto, Calif. : Annual Reviews
    ISSN: 1056-3466
    Source: Annual Reviews Electronic Back Volume Collection 1932-2001ff
    Topics: Energy, Environment Protection, Nuclear Power Engineering
    Type of Medium: Electronic Resource
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