TY  - RPRT
AU  - Chang, Chia-Lin
AU  - McAleer, Michael
AU  - Tansuchat, Roengchai
PY  - 2012
UR  - https://hdl.handle.net/20.500.14352/49087
AB  - This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton,...
LA  - eng
KW  - Long memory
KW  - Agricultural commodity futures
KW  - Fractional integration
KW  - Asymmetric
KW  - Conditional volatility.
TI  - Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
TY  - technical report
VL  - 2012
ER  -