Long Memory In Futures Prices

Financial Review - Tập 34 Số 1 - Trang 91-100 - 1999
John Barkoulas1, Walter C. Labys2, Joseph I. Onochie3
1Louisiana Tech University
2WEST VIRGINIA UNIVERSITY
3The City University of New York

Tóm tắt

AbstractThis paper tests for fractional roots in the futures prices for selected commodities, foreign currencies, and stock indexes. The fractional testing method is the spectral regression method suggested by Geweke and Porter‐Hudak (1983). The empirical results suggest the presence of a fractional exponent in the differencing process for several commodity and foreign currency futures prices. The returns series for these commodities and currencies exhibit long range positive dependence. However, differencing of exact order one is sufficient for the stock index futures prices. Implications are drawn concerning theoretical and econometric modeling and price forecasting.

Từ khóa


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Financial Review

Tập 34 Số 1

91-100

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