Empirical Research on Wheat Future Price by Samuelson Hypothesis

摘要：

The paper empirically analyzes the wheat future price in the Zhengzhou Commodity Exchange by the generalized Autoregressive Conditional Heteroskedasticity model and establishes the integrity ARMA-GARCH model. The conclusions show that the wheat future volatility have the high durative. By adding the dummy variable, the paper proves that the most wheat future contracts certainly exist the Samuelson hypothesis.

关键词： Wheat Future Price volatility ARCH mode Samuelson hypothesis

作者: ZHANG Qi-wen XING yuan-yuan

作者单位: School of Economics & Management,Northeast Agricultural University,Heilongjiang,China

会议类型: 国际会议

会议名称: 2007 International Conference on Agriculture Engineering(2007年农业工程国际会议)

会议地点: 河北保定

会议语种:英文

页码: 704-707

在线出版日期: 2007-10-20（万方平台首次上网日期，不代表论文的发表时间）