Tests for the efficiency of commodity arbitrage typically fail to find cointegration relationships between spot and futures prices and between markets. The reported study investigates the issue for spot and futures prices of cocoa on New York and London markets by means of the Johansen maximum...

The class of conditionally heteroscedastic models known as 'augmented ARCH' encompasses most liear 'ARCH'-type models found in the literature and, in particular, two basic ARCH variants for autocorrelated series: Engle (1982) explains conditional variance by lagged errors, Weiss (1984) also by...