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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - In: The journal of futures markets 35 (2015) 4, pp. 339-356
Persistent link: https://www.econbiz.de/10011348418
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Cointegration, unbiased expectations, and forecasting in the BIFFEX freight futures market
Haigh, Michael S. - In: The journal of futures markets 20 (2000) 6, pp. 545-571
Persistent link: https://www.econbiz.de/10001509975
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The pattern of price linkages among commodities
Dorfman, Jeffrey H.; Karali, Berna - In: The journal of futures markets 34 (2014) 11, pp. 1062-1076
Persistent link: https://www.econbiz.de/10010508679
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Mean reversion in stock index futures markets: a nonlinear analysis
Monoyios, Michael; Sarno, Lucio - In: The journal of futures markets 22 (2002) 4, pp. 285-314
Persistent link: https://www.econbiz.de/10001678261
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A cointegrated commodity pricing model
Nakajima, Katsushi; Ōhashi, Kazuhiko - In: The journal of futures markets 32 (2012) 11, pp. 995-1033
Persistent link: https://www.econbiz.de/10009697818
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A no-arbitrage fractional cointegration model for futures and spot daily ranges
Rossi, Eduardo; Santucci de Magistris, Paolo - In: The journal of futures markets 33 (2013) 1, pp. 77-102
Persistent link: https://www.econbiz.de/10009699456
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A partially linear approach to modeling the dynamics of spot and futures prices
Gaul, Jürgen; Theissen, Erik - In: The journal of futures markets 35 (2015) 4, pp. 371-384
Persistent link: https://www.econbiz.de/10011348414
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A factor analytical approach to the efficient futures market hypothesis
Westerlund, Joakim; Norkute, Milda; Narayan, Paresh Kumar - In: The journal of futures markets 35 (2015) 4, pp. 357-370
Persistent link: https://www.econbiz.de/10011348416
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The soybean crush spread : empirical evidence and trading strategies
Simon, David P. - In: The journal of futures markets 19 (1999) 3, pp. 271-289
Persistent link: https://www.econbiz.de/10001377831
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The relative efficiency of commodity futures markets
Kellard, Neil (contributor) - In: The journal of futures markets 19 (1999) 4, pp. 413-432
Persistent link: https://www.econbiz.de/10001378173