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Mathematical Problems in Engineering
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2021
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Article
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Tab 2
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Research Article
Determinants of Commodity Futures Prices: Decomposition Approach
Table 2
Measures of IMFs and residue obtained through EMD of daily price series of corn (May 2016–April 2021): correlation is significant at the level of 0.05 (2-tailed).
Mean period
Pearson correlation
Kendall correlation
Spearman correlation
Variance
Variance as of observed (%)
Variance as % of
+ residual (%)
Observed series
2.02377
0.33526
IMF1
1.65415
0.03033
0.05804
0.08160
0.00103
0.30722
0.19538
IMF2
3.85801
0.01557
0.05546
0.08244
0.00132
0.39372
0.25039
IMF3
8.03145
0.18821
0.08422
0.11590
0.00567
1.69122
1.07553
IMF4
17.98592
0.13127
0.16079
0.22557
0.01488
4.43835
2.82257
IMF5
38.69697
0.10200
0.19915
0.28984
0.01821
5.43161
3.45423
IMF6
116.09091
0.06365
0.02319
0.03523
0.09837
29.34141
18.65966
IMF7
212.83333
0.54986
0.36244
0.51175
0.16983
50.65621
32.21480
Residue
425.66667
0.61478
0.10777
0.16794
0.21787
64.98538
41.32744
Sum
157.245
100