Hostname: page-component-7dd5485656-bt4hw Total loading time: 0 Render date: 2025-10-31T05:53:50.124Z Has data issue: false hasContentIssue false
  • English
  • Français

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
Get access Rights & Permissions [Opens in a new window]

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 ].

Information

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

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

References

[1]Box, G. E. P., and Cox, D. R.. “An Analysis of Transformations.” Journal of the Royal Statistical Society, Series B, vol. 26, no. 2 (1964), pp. 211–252.Google Scholar
[2]Box, G. E. P., and Jenkins, G. M.. “Time Series Analysis, Forecasting and Control.” San Francisco: Holden Day (1970).Google Scholar
[3]Cowles, A. “A Revision of Previous Conclusions Regarding Stock Price Behaviour.” Econometrica, vol. 28 (1960), pp. 909–915.Google Scholar
[4]Fama, E. F. “The Behaviour of Stock Market Prices.” Journal of Business, vol. 38 (1965), pp. 34–105.CrossRefGoogle Scholar
[5]Granger, C. W. J. “A Survey of Empirical Studies in Capital Markets.” In International Capital Markets, edited by Elton, E. J. and Gruber, M. J.. North Holland/American Elsevier (1975), pp. 3–36.Google Scholar
[6]Granger, C. W. J., and Orr, D.. “Infinite Variance and Research Strategy in Time Series Analysis.” Journal of the American Statistical Society, vol. 67 (1972), pp. 275–285.Google Scholar
[7]Hsu, D. A.; Miller, R. B.; and Wichern, D. W.. “On the Stable Paretian Behaviour of Stock Prices.” Journal of the American Statistical Society, vol. 69 (1974), pp. 108–113.CrossRefGoogle Scholar
[8]Labys, W. C., and Granger, C. W. J.. “Speculation, Hedging and Commodity Price Forecasts.” Massachusetts: Heath Lexington Books (1970).Google Scholar
[9]Meyer, J. E., and Kim, Y. Y.. “An Autoregressive Forecast of the World Sugar Future Option Market.” Journal of Financial and Quantitative Analysis, vol. 10 (1975), pp. 821–836.Google Scholar
[10]Osborne, M. F. M. “Brownian Motion in the Stock Market.” Operations Research, vol. 7 (1959), pp. 145–173.Google Scholar
[11]Praetz, P. D. “Australian Share Prices and the Random Walk Hypothesis.” Australian Journal of Statistics, vol. 11 (1969), pp. 123–139.CrossRefGoogle Scholar
[12]Working, H. “Note on the Correlation of First Differences of Averages in a Random Chain.” Econometrica, vol. 28 (1960), pp. 908–916.CrossRefGoogle Scholar