Quantitative finance for agricultural commodities: discussion and extension

Gabriel J. Power (Finance, Insurance and Real Estate, Université Laval, Quebec City, Canada)

Agricultural Finance Review

ISSN: 0002-1466

Publication date: 3 May 2016



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.


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


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.


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.



Power thanks the session participants at IARFIC 2015, Washington DC.


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

Download as .RIS



Emerald Group Publishing Limited

Copyright © 2016, Emerald Group Publishing Limited

To read the full version of this content please select one of the options below

You may be able to access this content by logging in via Shibboleth, Open Athens or with your Emerald account.
To rent this content from Deepdyve, please click the button.
If you think you should have access to this content, click the button to contact our support team.