Long Agricultural Futures Price Series: ARCH, Long Memory, or Chaos Processes
Wei, Anning
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https://hdl.handle.net/2142/83015
Description
Title
Long Agricultural Futures Price Series: ARCH, Long Memory, or Chaos Processes
Author(s)
Wei, Anning
Issue Date
1997
Doctoral Committee Chair(s)
Leuthold, Raymond M.
Department of Study
Agricultural Economics
Discipline
Agricultural Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, Finance
Language
eng
Abstract
This study has advanced the research methods and procedures of nonlinear dynamics modeling. Some basic properties of ARCH processes have been highlighted since they were not given enough attention in the past and lead to the misuse of the ARCH model. The study has introduced the long memory model, especially the AFIMA model, to agricultural market study for the first time. The study suggests that various linear and nonlinear filters should be used carefully in chaos study since it has been found that they can distort potential chaotic structures in the data. The typical chaos analysis must start with constructing the phase space, and the parameters of phase should be specified carefully.
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