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Memory in returns and volatilities of futures' contracts

2000; Wiley; Volume: 20; Issue: 6 Linguagem: Inglês

10.1002/1096-9934(200007)20

1096-9934

Nuno Crato, Bonnie K. Ray,

Market Dynamics and Volatility

Journal of Futures MarketsVolume 20, Issue 6 p. 525-543 Memory in returns and volatilities of futures' contracts Nuno Crato, Nuno Crato Assistant Professor The Department of Mathematics, The Instituto Superior de Economia e Gestao, UTL, Lisbon, PortugalSearch for more papers by this authorBonnie K. Ray, Corresponding Author Bonnie K. Ray Associate Professor The Department of Mathematical Sciences, The New Jersey Institute of Technology, Newark, New JerseyDepartment of Mathematical Sciences, New Jersey Institute of Technology, Newark, NJ 07102Search for more papers by this author Nuno Crato, Nuno Crato Assistant Professor The Department of Mathematics, The Instituto Superior de Economia e Gestao, UTL, Lisbon, PortugalSearch for more papers by this authorBonnie K. Ray, Corresponding Author Bonnie K. Ray Associate Professor The Department of Mathematical Sciences, The New Jersey Institute of Technology, Newark, New JerseyDepartment of Mathematical Sciences, New Jersey Institute of Technology, Newark, NJ 07102Search for more papers by this author First published: 14 June 2000 https://doi.org/10.1002/1096-9934(200007)20:6 3.0.CO;2-TCitations: 57AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinked InRedditWechat Abstract Various authors claim to have found evidence of stochastic long-memory behavior in futures' contract returns using the Hurst statistic. This paper reexamines futures' returns for evidence of persistent behavior using a biased-corrected version of the Hurst statistic, a nonparametric spectral test, and a spectral-regression estimate of the long-memory parameter. Results based on these new methods provide no evidence for persistent behavior in futures' returns. However, they provide overwhelming evidence of long-memory behavior for the volatility of futures' returns. This finding adds to the emerging literature on persistent volatility in financial markets and suggests the use of new methods of forecasting volatility, assessing risk, and optimizing portfolios in futures' markets. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:525–543, 2000 Citing Literature Volume20, Issue6July 2000Pages 525-543 RelatedInformation