The impact of data frequency on market efficiency tests of commodity futures prices
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21912
Abstract: We investigate the impacts of sampling frequency and model specification uncertainty on the outcome of unit root tests, commonly employed as market efficiency tests, using a new, robust Bayesian test on seven commodity futures prices… read more here.
Keywords: frequency; futures prices; commodity futures; market efficiency ... See more keywords
Homogenisation of temperature and precipitation time series with ACMANT3: method description and efficiency tests
Sign Up to like & getrecommendations! Published in 2017 at "International Journal of Climatology"
DOI: 10.1002/joc.4822
Abstract: The development of Adapted Caussinus–Mestre Algorithm for homogenising Networks of Temperature series (ACMANT), one of the most successful homogenisation methods tested by the European project COST ES0601 (HOME) has been continued. The third generation of… read more here.
Keywords: temperature; time; series; homogenisation ... See more keywords