In this paper we develop an analysis of multivariate time series that exhibit reduced rank cointegration, implying that a lower dimensional linear projection of the process can be obtained in which the projected process becomes stationary. Detection of the rank and basis upon which to project...

Abstract In crush spread commodity trading strategies it is a common practice to select portfolio positions not based on statistical properties, but instead based on physical refinery conditions and efficiency in extracting byproducts from crushing raw soybeans to get soymeal and soyoil. The...