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Long memory and structural breaks in commodity futures markets (2010)
Journal Article
Coakley, J., Dollery, J., & Kellard, N. (2011). Long memory and structural breaks in commodity futures markets. Journal of Futures Markets, 31(11), 1076-1113. https://doi.org/10.1002/fut.20502

This study employs daily data for 14 commodities and three financial assets 1990-2009 to explore the impact of the time series properties of the futures-spot basis and the cost of carry on forward market unbiasedness. The main result is that the basi... Read More about Long memory and structural breaks in commodity futures markets.