Are commodity prices chaotic
Are commodity prices chaotic
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DOI：
10.1111/j.1574-0862.2002.tb00111.x
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发表时间：
2002-08
影响因子：
4.1
通讯作者：
A. Chatrath;B. Adrangi;K. Dhanda
中科院分区：
文献类型：
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作者：
A. Chatrath;B. Adrangi;K. Dhanda
我们对四种重要农产品的期货价格是否存在低维混沌结构进行了检验。尽管有强有力的证据表明非线性依赖性，但证据表明不存在持久的混沌结构。商品期货序列的维数估计通常远高于低维混沌序列的维数估计。我们的测试结果表明，自回归条件异方差（ARCH）型过程在控制季节性和合同期限效应的情况下解释了数据中的大部分非线性。我们证明，采用季节性调整价格序列对于通过一些现有的混沌结构测试获得稳健的结果非常重要。最后，对非线性动态具有鲁棒性的最大似然方法为萨缪尔森关于期货价格变化的期限效应的假设提供了强有力的支持。 © 2002 Elsevier Science B.V. 保留所有权利。
We conduct tests for the presence of low-dimensional chaotic structure in the futures prices of four important agricultural commodities. Though there is strong evidence of non-linear dependence, the evidence suggests that there is no long-lasting chaotic structure. The dimension estimates for the commodity futures series are generally much higher than would be for low dimension chaotic series. Our test results indicate that autoregressive conditional heteroskedasticity (ARCH)-type processes, with controls for seasonality and contract-maturity effects, explain much of the non-linearity in the data. We make a case that employing seasonally adjusted price series is important in obtaining robust results via some of the existing tests for chaotic structure. Finally, maximum likelihood methodologies, that are robust to the non-linear dynamics, lend strong support to the Samuelson hypothesis of maturity effects in futures price changes. © 2002 Elsevier Science B.V. All rights reserved.