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

Published online by Cambridge University Press:  19 October 2009

O. D. Anderson
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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

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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