Hostname: page-component-745bb68f8f-cphqk Total loading time: 0 Render date: 2025-02-05T10:24:28.909Z Has data issue: false hasContentIssue false
  • English
  • Français

Comment: “An Autoregressive Forecast of the World Sugar Future Option Market”

Published online by Cambridge University Press:  19 October 2009

O. D. Anderson
Get access Rights & Permissions [Opens in a new window]

Extract

I was interested to read Meyer and Kim [5], where I learned a little about sugar futures, but regret to say that I found the attempted Box-Jenkins analysis singularly lacking in expertise. It is my intention, here, to discuss a few of its most obvious shortcomings. My list will not be exhaustive, but will include just five points.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 12 , Issue 5 , December 1977 , pp. 879 - 881
Copyright
Copyright © School of Business Administration, University of Washington 1977

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Box, G. E. P., and Jenkins, G. M., Time Series Analysis, Forecasting and Control. San Francisco: Holden Day (1970).Google Scholar
[2]Box, G. E. P. “Some Comments on a Paper by Chatfield and Prothero and on a Review by Kendall (with a Reply).” Journal of the Royal Statistical Society, Series A, vol. 136, part 3 (1973), pp. 337–352.Google Scholar
[3]Chatfield, C., and Prothero, D. L.. “Box-Jenkins Seasonal Forecasting: Problems in a Case-Study (with Discussion).” Journal of the Royal Statistical Society, Series A, vol. 136, part 3 (1973), pp. 295–336.Google Scholar
[4]McLeod, G.Model Building using ISCOL's Univariate Stochastic Programs. Lancaster, England: ISCOL Limited (1973).Google Scholar
[5]Meyer, James E., and Kim, Young Y.. “An Autoregressive Forecast of the World Sugar Future Option Market.” Journal of Financial and Quantitative Analysis, vol. 10 (December 1975), pp. 821–835.Google Scholar
[6]Wilson, G. Tunnicliffe. In discussion of paper by Drs. Chatfield and Prothero. Journal of the Royal Statistical Society, Series A, vol. 136, part 3 (1973), pp. 315–319.CrossRefGoogle Scholar