– The purpose of this paper is to review three papers in this issue and contribute new results on commodity futures prices and volume using wavelet analysis.
– The paper uses time series econometrics including variance ratio tests, fractional integration estimators, and wavelet transforms.
– The role of time horizon is emphasized in the discussion of the three papers, and wavelet methods are shown to be a useful tool to better understand time horizon-specific risk. Moreover, changes in the time horizon of futures trading are documented and discussed.
– In addition to discussing three papers on quantitative finance for agricultural commodities, this paper also looks at how the analysis and management of short-term and long-term risk may differ. To this end, wavelet transform-based time series methods are reviewed and applied.
