A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
Sepideh Dolatabadi, Morten Ørregaard Nielsen, Ke Xu
| Year of publication: |
September 2016
|
|---|---|
| Authors: | Dolatabadi, Sepideh ; Nielsen, Morten Ørregaard ; Xu, Ke |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 38.2016, Part B, p. 623-639
|
| Subject: | Backwardation | Contango | Deterministic trend | Fractional cointegration | Futures markets | Vector error correction model | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Rohstoffderivat | Commodity derivative | Warenbörse | Commodity exchange | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2015.11.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011663388