A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Sepideh Dolatabadi, Morten Ørregaard Nielsen and Ke Xu
| Year of publication: |
2015
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|---|---|
| Authors: | Dolatabadi, Sepideh ; Nielsen, Morten Ørregaard ; Xu, Ke |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 35.2015, 4, p. 339-356
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| Subject: | backwardation | contango | deterministic trend | fractional cointegration | futures markets | vector error correction model | Kointegration | Cointegration | Rohstoffderivat | Commodity derivative | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Warenbörse | Commodity exchange | Schätzung | Estimation | Börsenkurs | Share price | Derivat | Derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011348418