We are grateful to an anonymous reviewer whose suggestions have helped us to make our results more robust, to sharpen the exposition and substantially to improve the overall quality of the study. An earlier version of this study was presented at the 12th International Conference on Computing in Economics and Finance in Cyprus and the 1st International Workshop on Computational and Financial Econometrics in Switzerland. We are grateful to participants for constructive comments. Dollery gratefully acknowledges the financial support provided by an ESRC studentship.
Long memory and structural breaks in commodity futures markets†
Version of Record online: 28 DEC 2010
© 2010 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 31, Issue 11, pages 1076–1113, November 2011
How to Cite
Coakley, J., Dollery, J. and Kellard, N. (2011), Long memory and structural breaks in commodity futures markets. J. Fut. Mark., 31: 1076–1113. doi: 10.1002/fut.20502
- Issue online: 1 SEP 2011
- Version of Record online: 28 DEC 2010
- Manuscript Accepted: OCT 2010
- Manuscript Received: JUN 2009
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