Long memory analysis of agricultural commodities: Application of Hurst Exponent using Lévy Process

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F17%3A75568" target="_blank" >RIV/60460709:41110/17:75568 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Long memory analysis of agricultural commodities: Application of Hurst Exponent using Lévy Process
Original language description
Nowadays, the trend of many economists and financial practitioners is to use the wavelet techniques or Hurts exponent methodology. Agricultural commodity market is characterized by volatile environment, shock or breaks. The aim of this paper is to investigate the dynamics of the main agricultural commodities corn and wheat using stochastic Lévy process. The selected commodities are the most tradeable among financial institution. The prices of agricultural commodities are influenced by different events or factors, i.e. changes in production, weather or processing. The concept of long memory deals with persistency of time series over 2011 2015 period. For analysis of commodities the rescaled range method is used. Results show that there is an existence of long memory among corn and wheat prices. The H statistics of Hurst exponent indicates the strong form of memory with values above 0,75 under Lévy stochastic process distribution. Findings support the persistent behavior among commodities. The implicat
Czech name
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Czech description
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Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Tvrdon, M. (ed.). Proceedings of 10th International Scientific Conference “Karviná Ph.D. Conference on Business and Economics”
ISBN
978-80-7510-265-2
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
31-37
Publisher name
Karviná: Silesian University
Place of publication
Karviná
Event location
Karviná
Event date
Nov 1, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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