Time Series Analysis on Agricultural Commodity Prices

Fractal Analysis of the Agricultural Products Prices Time Series

It is very necessary to research the fluctuation of agricultural products prices as well as the data character. In this paper, the wholesale price of agricultural product is considered. The monofractal analysis and multifractal analysis methods are introduced to study wholesale price. We select the appropriate algorithm to calculate the fractal characteristics of the celery wholesale price. Res...

Discussion of Determinants of Agricultural and Mineral Commodity Prices

It is a pleasure to be invited to discuss this rich paper by Jeffrey Frankel and Andrew Rose. After the events of the past few years, with a range of commodity prices exhibiting great volatility, it is not hard to motivate Frankel and Rose’s choice of topic, seen from either a longor medium-term perspective. The authors use annual data, mainly in a panel context, to examine the relationship bet...

Linkages among agricultural commodity futures prices: evidence from Tokyo

Malliaris and Urrutia (1996) use cointegration to analyse the prices of agricultural commodity futures contracts traded on the Chicago Board of Trade (CBOT). They ® nd a long-run relationship among US grown corn, wheat, oat, soybean, soybean meal and soybean oil futures prices and assert that this empirical ® nding is consistent with two alternative hypotheses. The ® rst is that common economic...

Option Pricing on Commodity Prices Using Jump Diffusion Models

In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...

Mean and Variance Dynamics between Agricultural Commodity Prices and Crude Oil Prices