Adaptive Market Efficiency of Agricultural Commodity Futures Contracts
Statistical Finance
2015-04-02 v3
Abstract
In this paper we investigate the adaptive market efficiency of the agricultural commodity futures market, using a sample of eight futures contracts. Using a battery of nonlinear tests, we uncover the nonlinear serial dependence in the returns series. We run the Hinich portmanteau bicorrelation test to uncover the moments in which the nonlinear serial dependence, and therefore adaptive market efficiency, occurs for our sample.
Keywords
Cite
@article{arxiv.1412.8017,
title = {Adaptive Market Efficiency of Agricultural Commodity Futures Contracts},
author = {Semei Coronado-Ramírez and Pedro Celso-Arellano and Omar Rojas},
journal= {arXiv preprint arXiv:1412.8017},
year = {2015}
}
Comments
11 pages