The study explores a long memory conditional volatility model on international grain markets, demonstrating importance of modeling both temporal effects of volatility and long memory process. This study adopts six different volatility models, nested in an ARMA(p,q)- FIGARCH(P,D,Q), to capture...

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Over the last decade, commodity prices have registered substantial booms and busts marked by extreme volatility. Wheat in particular, one of the main non-oil commodities, has registered a roller-coaster in price levels which seems to be inconsistent with supply and demand fundamentals. To...

This paper investigates the effect of information flow on corn futures price variability for the period January 2004 -July 2011. The theoretical framework is the Mixture Distribution Hypothesis, that posits a joint dependence of return volatility and information. The main contribution of this...