This paper tests for the presence of long memory and nonlinearity in returns and volatility for six agricultural futures daily prices series, three traded on MATIF Euronext (Wheat, Corn & Rapeseed) and three traded on CBOT (Red Winter Wheat, Corn & Soybean) over the period from 2000 to 2010. If...

This study tests for the presence of linear and nonlinear dependences in returns and volatility for six agricultural futures daily prices series, three traded on MATIF Euronext (wheat, corn, and rapeseed), and three traded on Chicago Board of Trade (red winter wheat, corn, and soybean) over the...