<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0186-1042</journal-id>
<journal-title><![CDATA[Contaduría y administración]]></journal-title>
<abbrev-journal-title><![CDATA[Contad. Adm]]></abbrev-journal-title>
<issn>0186-1042</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-10422015000200389</article-id>
<article-id pub-id-type="doi">10.1016/S0186-1042(15)30006-1</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Adaptive market efficiency of agricultural commodity futures contracts]]></article-title>
<article-title xml:lang="es"><![CDATA[Eficiencia del mercado adaptativo en los contratos futuros de productos agrícolas]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Coronado Ramírez]]></surname>
<given-names><![CDATA[Semei]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Celso Arellano]]></surname>
<given-names><![CDATA[Pedro Luis]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Rojas]]></surname>
<given-names><![CDATA[Omar]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="A01">
<institution><![CDATA[,Universidad de Guadalajara Departamento de Métodos Cuantitativos ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>MX</country>
</aff>
<aff id="A02">
<institution><![CDATA[,Universidad Panamericana Escuela de Ciencias Económicas y Empresariales ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>MX</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2015</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2015</year>
</pub-date>
<volume>60</volume>
<numero>2</numero>
<fpage>389</fpage>
<lpage>401</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422015000200389&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422015000200389&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422015000200389&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[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.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[En este documento se investiga la eficiencia del mercado adaptativo del mercado de futuros de productos básicos agrícolas, utilizando una muestra de ocho contratos de futuros. Se utiliza una batería de pruebas no lineales para descubrir la dependencia no lineal en la serie de retornos. Aplicamos el estadístico Hinich portmanteau bicorrelación para descubrir los momentos de dependencia no lineal en las series, y por lo tanto se encuentra que cuatro productos del mercado tienen adaptable eficiencia.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Mercados eficientes]]></kwd>
<kwd lng="es"><![CDATA[No linealidad]]></kwd>
<kwd lng="es"><![CDATA[Hipótesis de mercados adaptativos]]></kwd>
<kwd lng="es"><![CDATA[Productos agrícolas]]></kwd>
<kwd lng="es"><![CDATA[Mercado de futuros]]></kwd>
<kwd lng="en"><![CDATA[Efficient markets]]></kwd>
<kwd lng="en"><![CDATA[Nonlinearity]]></kwd>
<kwd lng="en"><![CDATA[Adaptive market hypothesis]]></kwd>
<kwd lng="en"><![CDATA[Agricultural commodities]]></kwd>
<kwd lng="en"><![CDATA[Futures market]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Non-linear dynamics in futures prices: evidence from the coffee, sugar and cocoa exchange]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Adrangi]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Chatrath]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<source><![CDATA[Applied Financial Economics]]></source>
<year>2003</year>
<volume>13</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>245-56</page-range></nlm-citation>
</ref>
<ref id="B2">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ahti]]></surname>
<given-names><![CDATA[V.]]></given-names>
</name>
</person-group>
<source><![CDATA[Forecasting commodity prices with nonlinear models Helsinki Centre of Economic Research]]></source>
<year>2009</year>
<publisher-loc><![CDATA[Finland ]]></publisher-loc>
<publisher-name><![CDATA[University of Helsinki]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B3">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[A new variance ratio test of random walk in emerging markets: a revisit]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Al-Khazali]]></surname>
<given-names><![CDATA[O.M.]]></given-names>
</name>
<name>
<surname><![CDATA[Ding]]></surname>
<given-names><![CDATA[D.K.]]></given-names>
</name>
<name>
<surname><![CDATA[Pyun]]></surname>
<given-names><![CDATA[C.S.]]></given-names>
</name>
</person-group>
<source><![CDATA[Financial Review]]></source>
<year>2007</year>
<volume>42</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>303-17</page-range></nlm-citation>
</ref>
<ref id="B4">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Is the US stock market becoming weakly efficient over time?]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Alvarez-Ramirez]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Rodriguez]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
<name>
<surname><![CDATA[Espinosa-Paredes]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<source><![CDATA[Evidence from 80-year-long data. Physica A: Statistical Mechanics and Its Applications]]></source>
<year>2012</year>
<volume>391</volume>
<numero>22</numero>
<issue>22</issue>
<page-range>5643-7</page-range></nlm-citation>
</ref>
<ref id="B5">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[GARCH time-series models: an application to retail livestock prices]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Aradhyula]]></surname>
<given-names><![CDATA[S.V.]]></given-names>
</name>
<name>
<surname><![CDATA[Holt]]></surname>
<given-names><![CDATA[M.T.]]></given-names>
</name>
</person-group>
<source><![CDATA[Western Journal of Agricultural Economics]]></source>
<year>1988</year>
<volume>13</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>365-74</page-range></nlm-citation>
</ref>
<ref id="B6">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Price volatility forecasts for agricultural commodities: an application of historical volatility models, option implieds and composite approaches for futures prices of corn and wheat]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Benavides]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<source><![CDATA[Revista de Administración, Finanzas y Economía]]></source>
<year>2004</year>
<volume>3</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>40-59</page-range></nlm-citation>
</ref>
<ref id="B7">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[&#8220;Chaos&#8221; in futures markets?. A nonlinear dynamical analysis]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Blank]]></surname>
<given-names><![CDATA[S.C.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Futures Markets]]></source>
<year>1991</year>
<volume>11</volume>
<numero>6</numero>
<issue>6</issue>
<page-range>711-28</page-range></nlm-citation>
</ref>
<ref id="B8">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Nonlinear behaviour of emerging market bonds spreads: the Latin American case]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bonilla]]></surname>
<given-names><![CDATA[C.A.]]></given-names>
</name>
<name>
<surname><![CDATA[Maquieira]]></surname>
<given-names><![CDATA[C.P.]]></given-names>
</name>
<name>
<surname><![CDATA[Romero-Meza]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
</person-group>
<source><![CDATA[Applied Economics]]></source>
<year>2008</year>
<volume>40</volume>
<numero>20</numero>
<issue>20</issue>
<page-range>2679-702</page-range></nlm-citation>
</ref>
<ref id="B9">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[A test for independence based on the correlation dimension]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Broock]]></surname>
<given-names><![CDATA[W.A.]]></given-names>
</name>
<name>
<surname><![CDATA[Scheinkman]]></surname>
<given-names><![CDATA[J.A.]]></given-names>
</name>
<name>
<surname><![CDATA[Dechert]]></surname>
<given-names><![CDATA[W.D.]]></given-names>
</name>
<name>
<surname><![CDATA[LeBaron]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
</person-group>
<source><![CDATA[Econometric Reviews]]></source>
<year>1996</year>
<volume>15</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>197-235</page-range></nlm-citation>
</ref>
<ref id="B10">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Campbell]]></surname>
<given-names><![CDATA[J.Y.]]></given-names>
</name>
<name>
<surname><![CDATA[Lo]]></surname>
<given-names><![CDATA[A.W.]]></given-names>
</name>
<name>
<surname><![CDATA[MacKinlay]]></surname>
<given-names><![CDATA[A.C.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Econometrics of Financial Markets]]></source>
<year>1997</year>
<publisher-loc><![CDATA[Princeton ]]></publisher-loc>
<publisher-name><![CDATA[Princeton University Press]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B11">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Charles]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Darné]]></surname>
<given-names><![CDATA[O.]]></given-names>
</name>
<name>
<surname><![CDATA[Kim]]></surname>
<given-names><![CDATA[J.H.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of International Money and Finance]]></source>
<year>2012</year>
<volume>31</volume>
<numero>6</numero>
<issue>6</issue>
<page-range>1607-26</page-range></nlm-citation>
</ref>
<ref id="B12">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[A simple multiple variance ratio test]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Chow]]></surname>
<given-names><![CDATA[K.V.]]></given-names>
</name>
<name>
<surname><![CDATA[Denning]]></surname>
<given-names><![CDATA[K.C.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Econometrics]]></source>
<year>1993</year>
<volume>58</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>385-401</page-range></nlm-citation>
</ref>
<ref id="B13">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Empirical properties of asset returns: stylized facts and statistical issues]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Cont]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
</person-group>
<source><![CDATA[Quantitative Finance]]></source>
<year>2001</year>
<volume>1</volume>
<page-range>223-36</page-range></nlm-citation>
</ref>
<ref id="B14">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Identificación de episodios de dependencia no lineal en el peso mexicano]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Coronado]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
<name>
<surname><![CDATA[Gatica]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
</person-group>
<source><![CDATA[Cuadernos de Economía]]></source>
<year>2011</year>
<volume>30</volume>
<numero>55</numero>
<issue>55</issue>
<page-range>91-104</page-range></nlm-citation>
</ref>
<ref id="B15">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Identificación de episodios de dependencia no lineal en el peso mexicano]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Coronado-Ramírez]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
<name>
<surname><![CDATA[Arreola]]></surname>
<given-names><![CDATA[L.G.]]></given-names>
</name>
</person-group>
<source><![CDATA[Cuadernos de Economía]]></source>
<year>2011</year>
<volume>30</volume>
<numero>55</numero>
<issue>55</issue>
<page-range>91-104</page-range></nlm-citation>
</ref>
<ref id="B16">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Inefficiency in the international coffee market: The case of Colombian arabica]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Coronado-Ramírez]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
<name>
<surname><![CDATA[Ramírez-Grajeda]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Celso-Arellano]]></surname>
<given-names><![CDATA[P.L.]]></given-names>
</name>
</person-group>
<source><![CDATA[African Journal of Agricultural Research]]></source>
<year>2014</year>
<volume>9</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>556-61</page-range></nlm-citation>
</ref>
<ref id="B17">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Distribution of the estimators for autoregressive time series with a unit root]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Dickey]]></surname>
<given-names><![CDATA[D.A.]]></given-names>
</name>
<name>
<surname><![CDATA[Fuller]]></surname>
<given-names><![CDATA[W.A.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of the American Statistical Association]]></source>
<year>1979</year>
<volume>74</volume>
<numero>366a</numero>
<issue>366a</issue>
<page-range>427-31</page-range></nlm-citation>
</ref>
<ref id="B18">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Engle]]></surname>
<given-names><![CDATA[R.F.]]></given-names>
</name>
</person-group>
<source><![CDATA[Econometrica: Journal of the Econometric Society]]></source>
<year>1982</year>
<volume>50</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>987-1007</page-range></nlm-citation>
</ref>
<ref id="B19">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Efficient capital markets: A review of theory and empirical work]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fama]]></surname>
<given-names><![CDATA[E.F.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Journal of Finance]]></source>
<year>1970</year>
<volume>5</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>383-417</page-range></nlm-citation>
</ref>
<ref id="B20">
<nlm-citation citation-type="book">
<article-title xml:lang=""><![CDATA[Essays in Econometrics]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Granger]]></surname>
<given-names><![CDATA[C.W.J.]]></given-names>
</name>
</person-group>
<source><![CDATA[Collected Papers of Clive W. J. Granger]]></source>
<year>2001</year>
<volume>32</volume>
<page-range>457&#8211;471</page-range><publisher-name><![CDATA[Cambridge University Press]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B21">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Granger]]></surname>
<given-names><![CDATA[C.W.J.]]></given-names>
</name>
<name>
<surname><![CDATA[Andersen]]></surname>
<given-names><![CDATA[A.P.]]></given-names>
</name>
</person-group>
<source><![CDATA[An introduction to bilinear time series models]]></source>
<year>1978</year>
<publisher-loc><![CDATA[Götting ]]></publisher-loc>
<publisher-name><![CDATA[Vandenhoeck und Ruprecht]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B22">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Testing for dependence in the input to a linear time series model]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hinich]]></surname>
<given-names><![CDATA[M.J.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Nonparametric Statistics]]></source>
<year>1996</year>
<volume>6</volume>
<numero>2-3</numero>
<issue>2-3</issue>
<page-range>205-21</page-range></nlm-citation>
</ref>
<ref id="B23">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Evidence of nonlinearity in daily stock returns]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hinich]]></surname>
<given-names><![CDATA[M.J.]]></given-names>
</name>
<name>
<surname><![CDATA[Patterson]]></surname>
<given-names><![CDATA[D.M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Business and Economic Statistics]]></source>
<year>1985</year>
<volume>3</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>69-77</page-range></nlm-citation>
</ref>
<ref id="B24">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Episodic nonlinear event detection in the Canadian exchange rate]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hinich]]></surname>
<given-names><![CDATA[M.J.]]></given-names>
</name>
<name>
<surname><![CDATA[Serletis]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of the American Statistical Association]]></source>
<year>2007</year>
<volume>102</volume>
<numero>477</numero>
<issue>477</issue>
<page-range>68-74</page-range></nlm-citation>
</ref>
<ref id="B25">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hinich]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Patterson]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
</person-group>
<source><![CDATA[Detecting epochs of transient dependence in white noise]]></source>
<year>1995</year>
<publisher-loc><![CDATA[Mimeo ]]></publisher-loc>
<publisher-name><![CDATA[University of Texas at Austin]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B26">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hinich]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Patterson]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Detecting epochs of transient dependence in white noise]]></article-title>
<person-group person-group-type="editor">
<name>
<surname><![CDATA[Belongia]]></surname>
<given-names><![CDATA[M.T.]]></given-names>
</name>
<name>
<surname><![CDATA[Binner]]></surname>
<given-names><![CDATA[J.M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Money, measurement and computation]]></source>
<year>2005</year>
<publisher-loc><![CDATA[London ]]></publisher-loc>
<publisher-name><![CDATA[Palgrave Macmillan]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B27">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hiremath]]></surname>
<given-names><![CDATA[G.S.]]></given-names>
</name>
<name>
<surname><![CDATA[Kumari]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<source><![CDATA[SpringerPlus]]></source>
<year>2014</year>
<volume>3</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>1-14</page-range></nlm-citation>
</ref>
<ref id="B28">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Generalized spectral tests for conditional mean models in time series with conditional heteroscedasticity of unknown form]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hong]]></surname>
<given-names><![CDATA[Y.]]></given-names>
</name>
<name>
<surname><![CDATA[Lee]]></surname>
<given-names><![CDATA[Y.-J.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Review of Economic Studies]]></source>
<year>2005</year>
<volume>72</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>499-541</page-range></nlm-citation>
</ref>
<ref id="B29">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Chaos and nonlinear dynamics: Application to financial markets]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hsieh]]></surname>
<given-names><![CDATA[D.A.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Finance]]></source>
<year>1991</year>
<volume>46</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>1839-77</page-range></nlm-citation>
</ref>
<ref id="B30">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Im]]></surname>
<given-names><![CDATA[K.S.]]></given-names>
</name>
<name>
<surname><![CDATA[Lee]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Tieslau]]></surname>
<given-names><![CDATA[M.A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[More powerful unit root tests with non-normal errors.]]></article-title>
<person-group person-group-type="editor">
<name>
<surname><![CDATA[Sickles]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Horrace]]></surname>
<given-names><![CDATA[W.]]></given-names>
</name>
</person-group>
<source><![CDATA[Festschrift in Honor of Peter Schmidt]]></source>
<year>2014</year>
<publisher-loc><![CDATA[New York ]]></publisher-loc>
<publisher-name><![CDATA[Springer]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B31">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Measuring the degree of time varying market inefficiency]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ito]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Sugiyama]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<source><![CDATA[Economics Letters]]></source>
<year>2009</year>
<volume>103</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>62-4</page-range></nlm-citation>
</ref>
<ref id="B32">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[A test for normality of observations and regression residuals]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Jarque]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Bera]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<source><![CDATA[Statistical Review /Revue Internationale de Statistique]]></source>
<year>1987</year>
<volume>53</volume>
<page-range>163-72</page-range></nlm-citation>
</ref>
<ref id="B33">
<nlm-citation citation-type="confpro">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Karali]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Power]]></surname>
<given-names><![CDATA[G.J.]]></given-names>
</name>
</person-group>
<source><![CDATA[What explains high commodity price volatility?. Estimating a unified model of common and commodity-specific, high-and low-frequency factors]]></source>
<year>2009</year>
<conf-name><![CDATA[ 2009Annual Meeting]]></conf-name>
<conf-date>July 26-28, 2009</conf-date>
<conf-loc>Milwaukee, Wisconsin </conf-loc>
</nlm-citation>
</ref>
<ref id="B34">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Stock return predictability and the adaptive markets hypothesis: Evidence from century-long US data]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Kim]]></surname>
<given-names><![CDATA[J.H.]]></given-names>
</name>
<name>
<surname><![CDATA[Shamsuddin]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Lim]]></surname>
<given-names><![CDATA[K.-P.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Empirical Finance]]></source>
<year>2011</year>
<volume>8</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>868-79</page-range></nlm-citation>
</ref>
<ref id="B35">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Lim]]></surname>
<given-names><![CDATA[K.-P.]]></given-names>
</name>
<name>
<surname><![CDATA[Brooks]]></surname>
<given-names><![CDATA[R.D.]]></given-names>
</name>
<name>
<surname><![CDATA[Hinich]]></surname>
<given-names><![CDATA[M.J.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of International Financial Markets Institutions and Money]]></source>
<year>2008</year>
<volume>18</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>527-44</page-range></nlm-citation>
</ref>
<ref id="B36">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[On a measure of lack of fit in time series models]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ljung]]></surname>
<given-names><![CDATA[G.M.]]></given-names>
</name>
<name>
<surname><![CDATA[Box]]></surname>
<given-names><![CDATA[G.E.P.]]></given-names>
</name>
</person-group>
<source><![CDATA[Biometrika]]></source>
<year>1978</year>
<volume>65</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>297-303</page-range></nlm-citation>
</ref>
<ref id="B37">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[The adaptive markets hypothesis]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Lo]]></surname>
<given-names><![CDATA[A.W.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Journal of Portfolio Management]]></source>
<year>2004</year>
<volume>30</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>15-29</page-range></nlm-citation>
</ref>
<ref id="B38">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Reconciling efficient markets with behavioral finance: the adaptive markets hypothesis]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Lo]]></surname>
<given-names><![CDATA[A.W.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Investment Consulting]]></source>
<year>2005</year>
<volume>7</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>21-44</page-range></nlm-citation>
</ref>
<ref id="B39">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Stock market prices do not follow random walks: Evidence from a simple specification test]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Lo]]></surname>
<given-names><![CDATA[A.W.]]></given-names>
</name>
<name>
<surname><![CDATA[MacKinlay]]></surname>
<given-names><![CDATA[A.C.]]></given-names>
</name>
</person-group>
<source><![CDATA[Review of Financial Studies]]></source>
<year>1988</year>
<volume>1</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>41-66</page-range></nlm-citation>
</ref>
<ref id="B40">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Diagnostic checking ARMA time series models using squared-residual autocorrelations]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[McLeod]]></surname>
<given-names><![CDATA[A.I.]]></given-names>
</name>
<name>
<surname><![CDATA[Li]]></surname>
<given-names><![CDATA[W.K.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Time Series Analysis]]></source>
<year>1983</year>
<volume>4</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>269-73</page-range></nlm-citation>
</ref>
<ref id="B41">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Smooth transition vector error correction models for the spot prices of coffee]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Milas]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Otero]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<source><![CDATA[Applied Economics Letters]]></source>
<year>2002</year>
<volume>9</volume>
<numero>14</numero>
<issue>14</issue>
<page-range>925-8</page-range></nlm-citation>
</ref>
<ref id="B42">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[The adaptive markets hypothesis: evidence from the foreign exchange market]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Neely]]></surname>
<given-names><![CDATA[C.J.]]></given-names>
</name>
<name>
<surname><![CDATA[Weller]]></surname>
<given-names><![CDATA[P.A.]]></given-names>
</name>
<name>
<surname><![CDATA[Ulrich]]></surname>
<given-names><![CDATA[J.M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Financial and Quantitative Analysis]]></source>
<year>2009</year>
<volume>44</volume>
<numero>02</numero>
<issue>02</issue>
<page-range>467-88</page-range></nlm-citation>
</ref>
<ref id="B43">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[A test of the adaptive market hypothesis using non-Bayesian time-varying AR model in Japan]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Noda]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<source><![CDATA[Preprint arXiv]]></source>
<year>2012</year>
<numero>1207.1842</numero>
<issue>1207.1842</issue>
</nlm-citation>
</ref>
<ref id="B44">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Nonlinearity in the Canadian and US labor markets: Univariate and multivariate evidence from a battery of tests]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Panagiotidis]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
<name>
<surname><![CDATA[Pelloni]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<source><![CDATA[Macroeconomic Dynamics]]></source>
<year>2007</year>
<volume>11</volume>
<numero>05</numero>
<issue>05</issue>
<page-range>613-37</page-range></nlm-citation>
</ref>
<ref id="B45">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Patterson]]></surname>
<given-names><![CDATA[D.M.]]></given-names>
</name>
<name>
<surname><![CDATA[Ashley]]></surname>
<given-names><![CDATA[R.A.]]></given-names>
</name>
</person-group>
<source><![CDATA[A nonlinear time series workshop: A toolkit for detecting and indentifying nonlinear serial dependence]]></source>
<year>2000</year>
<volume>2</volume>
<publisher-loc><![CDATA[Boston ]]></publisher-loc>
<publisher-name><![CDATA[Kluwer Academic Publishers]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B46">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Nonlinear event detection in the Chilean stock market]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Romero-Meza]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Bonilla]]></surname>
<given-names><![CDATA[C.A.]]></given-names>
</name>
<name>
<surname><![CDATA[Hinich]]></surname>
<given-names><![CDATA[M.J.]]></given-names>
</name>
</person-group>
<source><![CDATA[Applied Economics Letters]]></source>
<year>2007</year>
<volume>14</volume>
<numero>13</numero>
<issue>13</issue>
<page-range>987-91</page-range></nlm-citation>
</ref>
<ref id="B47">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Testing the random walk hypothesis: Power versus frequency of observation]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Shiller]]></surname>
<given-names><![CDATA[R.J.]]></given-names>
</name>
<name>
<surname><![CDATA[Perron]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
</person-group>
<source><![CDATA[Economics Letters]]></source>
<year>1985</year>
<volume>18</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>381-6</page-range></nlm-citation>
</ref>
<ref id="B48">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Modelling long memory volatility in agricultural commodity futures returns.]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Tansuchat]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Chang]]></surname>
<given-names><![CDATA[C.-L.]]></given-names>
</name>
<name>
<surname><![CDATA[McAleer]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<source><![CDATA[CARF-F-183 Series, Center for Advanced Research in Finance. Faculty of Economics, University of Tokyo]]></source>
<year>2009</year>
</nlm-citation>
</ref>
<ref id="B49">
<nlm-citation citation-type="confpro">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Tejeda]]></surname>
<given-names><![CDATA[H.A.]]></given-names>
</name>
<name>
<surname><![CDATA[Goodwin]]></surname>
<given-names><![CDATA[B.K.]]></given-names>
</name>
</person-group>
<source><![CDATA[Price volatility, nonlinearity, and asymmetric adjustments in corn, soybean, and cattle markets: Implications of ethanol-driven (market) shocks]]></source>
<year>2009</year>
<conf-name><![CDATA[ 134Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management]]></conf-name>
<conf-date>April 20-21, 2009</conf-date>
<conf-loc>St. Louis, Missouri </conf-loc>
</nlm-citation>
</ref>
<ref id="B50">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Nonlinearity tests for time series]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Tsay]]></surname>
<given-names><![CDATA[R.S.]]></given-names>
</name>
</person-group>
<source><![CDATA[Biometrika]]></source>
<year>1986</year>
<volume>73</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>461-6</page-range></nlm-citation>
</ref>
<ref id="B51">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Efficient or adaptive markets? Evidence from major stock markets using very long run historic data]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Urquhart]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Hudson]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
</person-group>
<source><![CDATA[International Review of Financial Analysis]]></source>
<year>2013</year>
<volume>28</volume>
<page-range>130-42</page-range></nlm-citation>
</ref>
<ref id="B52">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Modelado del precio del café colombiano en la bolsa de nueva york usando redes neuronales artificiales]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Velásquez]]></surname>
<given-names><![CDATA[J.D.]]></given-names>
</name>
<name>
<surname><![CDATA[Aldana]]></surname>
<given-names><![CDATA[M.A.]]></given-names>
</name>
</person-group>
<source><![CDATA[Rev. Fac. Nal. Agr. Medellín]]></source>
<year>2007</year>
<volume>60</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>4129-44</page-range></nlm-citation>
</ref>
<ref id="B53">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Nonlinear dynamics of daily futures prices: conditional heteroskedasticity or chaos?]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Yang]]></surname>
<given-names><![CDATA[S.-R.]]></given-names>
</name>
<name>
<surname><![CDATA[Brorsen]]></surname>
<given-names><![CDATA[B.W.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Futures Markets]]></source>
<year>1993</year>
<volume>13</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>175-91</page-range></nlm-citation>
</ref>
</ref-list>
</back>
</article>
