Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Giuseppe Cavaliere, Morten Ørregaard Nielsen, A.M. Robert Taylor
| Year of publication: |
August 2015
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| Authors: | Cavaliere, Giuseppe ; Nielsen, Morten Ørregaard ; Taylor, Robert |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 557-579
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| Subject: | Bootstrap | Efficient market hypothesis | Fractional integration | Score tests | Spot and futures commodity prices | Time-varying volatility | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Theorie | Theory | Effizienzmarkthypothese | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Rohstoffpreis | Commodity price | Kointegration | Cointegration | ARCH-Modell | ARCH model | Bootstrap-Verfahren | Bootstrap approach | ARMA-Modell | ARMA model | Heteroskedastizität | Heteroscedasticity | Warenbörse | Commodity exchange | Spotmarkt | Spot market |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.02.039 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011499761