Data/hora: 11/06/2024 02:43:08

Provedor de dados: 	31	
País: 	United States	
Título: 	Spurious Long Memory in Commodity Futures: Implications for Agribusiness Option Pricing	
Autores: 	Power,   Gabriel J.; Turvey,   Calum G.	
Data: 	2007-06-27	
Ano: 	2007	
Palavras-chave: 	Q13; Q14; Marketing; C52; C53; G12; G13.	
Resumo: 	Long memory, and more precisely fractionally integration, has been put forward as an explanation for the persistence of shocks in a number of economic time series data as well as to reconcile misleading findings of unit roots in data that should be stationary. Recent evidence suggests that long memory characterizes not commodity futures prices but rather price volatility (generally defined as $L_p$ norms of price logreturns). One implication of long memory in volatility is the mispricing of options written on commodity futures, the consequence of which is that fractional Brownian motion should replace geometric Brownian motion as the building block for option pricing solutions. This paper asks whether findings of long memory in volatility might be spurious and caused either by fragile and inaccurate estimation methods and standard errors, by correlated short memory dynamics, or by alternative data generating processes proven to generate the illusion of long memory. We find that for nine out of eleven agricultural commodities for which futures contracts are traded, long memory is spurious but is not caused by the effect of short memory. Alternative explanations are addressed and implications for option pricing are highlighted.	
Tipo: 	Conference Paper or Presentation	
Idioma: 	Inglês	
Identificador: 	26489

http://purl.umn.edu/9782	
Editor: 	AgEcon Search	
Relação: 	American Agricultural Economics Association&gt;2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon

Selected Paper no. 174577	
Formato: 	32

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