ANÁLISIS SOBRE LA NO LINEALIDAD DEL RENDIMIENTO DIARIO DEL PRECIO INTERNACIONAL DEL CAFÉ

This article applies the Hinich portmanteau test to the daily return of the international Arabica Colombian coffee price the period 06/29/1990 to 07/01/2010. By splitting the data in windows and setting the null hypothesis on the time series, H : a stationary pure noise process with zero 0 tricorrelations and bicorrelations for each window. The main result of this paper is that there is significant evidence in 10 and 11 windows, respectively. This shows that there are statistical structures with nonlinear dependence. Thus it is difficult for economic agents to cope with forecast performance decisions in this market.


Variant title:
Analysis on the nonlinearity of the international coffee price return
Subject(s):
Issue Date:
Aug 21 2012
Publication Type:
Journal Article
DOI and Other Identifiers:
ISSN-1405-9282 (Other)
PURL Identifier:
http://purl.umn.edu/130894
Published in:
Revista Mexicana de Agronegocios, Volume 31
Page range:
55-61
Total Pages:
7
Series Statement:
REVISTA MEXICANA DE AGRONEGOCIOS
VOLUMEN 31




 Record created 2017-04-01, last modified 2017-08-22

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)