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

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

7

Strana od-do

31-37

Název nakladatele

Karviná: Silesian University

Místo vydání

Karviná

Místo konání akce

Karviná

Datum konání akce

1. 11. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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