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Comment: “An Autoregressive Forecast of the World Sugar Future Option Market”

Published online by Cambridge University Press:  19 October 2009

Stephen J. Taylor  and
Brian G. Kingsman
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Extract

Time series techniques based on autocovariance and spectral analysis methods have often been used for statistical analyses of commodity and stock prices, with the usual conclusion that the prices, zt, are best described by a random walk:

where the errors, ut (alternatively called shocks or residuals), have zero expectation and form a sequence of independent random variables [5 and 8 ].

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 12 , Issue 5 , December 1977 , pp. 883 - 890
Copyright
Copyright © School of Business Administration, University of Washington 1977

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References

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