Determinants of Commodity Futures Prices: Decomposition Approach

Table 3

Correlation and variance of components obtained from the IMFs of EMD for 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
High frequency	55.52174	0.56739	0.39879	0.54449	0.21369	63.73859	45.58662
Low frequency	32.74359	0.15351	0.26932	0.37196	0.03763	11.22412	8.02763
Trend	425.66667	0.61478	0.10777	0.16794	0.21787	64.98538	46.47834
Sum						139.94809	100