Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices
Joshua G. Maples, B. Wade Brorsen
| Year of publication: |
2022
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|---|---|
| Authors: | Maples, Joshua G. ; Brorsen, Wade |
| Published in: |
Canadian journal of agricultural economics : CJAE. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1744-7976, ZDB-ID 2181887-3. - Vol. 70.2022, 2, p. 139-152
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| Subject: | cointegration | commodity markets | market efficiency | mean reversion | unit roots | Zeitreihenanalyse | Time series analysis | Warenbörse | Commodity exchange | Effizienzmarkthypothese | Efficient market hypothesis | Theorie | Theory | Rohstoffderivat | Commodity derivative | Derivat | Derivative | Kointegration | Cointegration | Rohstoffmarkt | Commodity market | Mean Reversion | Mean reversion | Einheitswurzeltest | Unit root test |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/cjag.12306 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013384688