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Fractional cointegration and price discovery in Canadian commodities

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The impact of RMB's SDR inclusion on price discovery in onshore-offshore markets

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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets

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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets

Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014

In this paper we apply the recently developed fractionally cointegrated vector autoregressive (FCVAR) model to analyze price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The FCVAR model allows for long memory (fractional...

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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets

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Trade friction and price discovery in the USD-CAD spot and forward markets

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A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets

Dolatabadi, Sepideh - 2017

In this paper, we apply the recently developed fractionally cointegrated vector autoregressive (FCVAR) model to analyze price discovery in the spot and futures markets for five non-ferrous metals (aluminum, copper, lead, nickel, and zinc). The FCVAR model allows for long memory (fractional...

Persistent link: https://www.econbiz.de/10012946789