Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Faculteit der Economische Wetenschappen, Erasmus … - 2012
This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different … found in most of agricultural commodity futures returns series. In addition, the FIGARCH (1,d,1) and FIEGARCH(1,d,1) models …
