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Keywords: Commodity futures
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Journal Articles
An autoregressive approach to modeling commodity prices as a quasi-fractional Brownian motion
Available to Purchase
Journal:
Agricultural Finance Review
Agricultural Finance Review (2016) 76 (1): 54–75.
Published: 03 May 2016
... be contacted at: calumturvey@hotmail.com (Equation 10) with the linear-in-variance result holding for (Equation 11) . © Emerald Group Publishing Limited 2016 Brownian motion Commodity futures Hurst coefficient Quasi-fractional Brownian motion In this paper we make...
Journal Articles
Efficiency in agricultural commodity futures markets in India: Evidence from cointegration and causality tests
Available to Purchase
Journal:
Agricultural Finance Review
Agricultural Finance Review (2011) 71 (2): 162–178.
Published: 02 August 2011
... of the commodity futures market in India in a detailed manner, especially at individual commodity level. During the process of economic liberalization, it was felt that there is a need to reorient policies and regulations in agricultural commodities. The Khusro Committee (1980) recommended reintroduction...
