Quantitative finance for agricultural commodities: discussion and extension

Abstract

Purpose

The purpose of this paper is to review three papers in this issue and contribute new results on commodity futures prices and volume using wavelet analysis.

Design/methodology/approach

The paper uses time series econometrics including variance ratio tests, fractional integration estimators, and wavelet transforms.

Findings

The role of time horizon is emphasized in the discussion of the three papers, and wavelet methods are shown to be a useful tool to better understand time horizon-specific risk. Moreover, changes in the time horizon of futures trading are documented and discussed.

Originality/value

In addition to discussing three papers on quantitative finance for agricultural commodities, this paper also looks at how the analysis and management of short-term and long-term risk may differ. To this end, wavelet transform-based time series methods are reviewed and applied.

Citation

Power, G.J. (2016), "Quantitative finance for agricultural commodities: discussion and extension", Agricultural Finance Review, Vol. 76 No. 1, pp. 27-41. https://doi.org/10.1108/AFR-02-2016-0013

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