Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence
Year of publication: |
2010
|
---|---|
Authors: | Power, Gabriel J. ; Turvey, Calum G. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 389.2010, 1, p. 79-90
|
Publisher: |
Elsevier |
Subject: | Commodity futures | Volatility | Long-range dependence | Hurst | Wavelets |
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