In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among...

Although most research on directional analysis focused on either increase/decrease or acceleration/deceleration of variables of interest, we jointly evaluate the two directional changes in the real Gross Domestic Product (GDP) predicted by corporate executives. We apply an approach recently...

We examine asymmetry in the loss function of corporate executives in their exchange rate forecasts and test for rationality of the forecast under the assumption of a possibly asymmetric loss function. We find evidence that the loss function of the forecast with a 1-year horizon is symmetric and...