Long Agricultural Futures Price Series: ARCH, Long Memory, or Chaos Processes

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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Agricultural Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Wei, Anning

Contributors dc:contributor

• Leuthold, Raymond M.

• Economics, Finance

Language dc:language

eng

Identifier

(MiAaPQ)AAI9717344

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/83015