A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Year of publication: |
2014
|
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Authors: | Dolatabadi, Sepideh ; Nielsen, Morten Ørregaard ; Xu, Ke |
Publisher: |
Aarhus : School of Economics and Management |
Subject: | backwardation | contango | deterministic trend | fractional cointegration | futures markets | vector error correction model | Kointegration | Cointegration | Rohstoffderivat | Commodity derivative | Börsenkurs | Share price | Theorie | Theory | VAR-Modell | VAR model | Schätzung | Estimation | Warenbörse | Commodity exchange | Zeitreihenanalyse | Time series analysis |
Extent: | Online-Ressource (19 S.) |
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Series: | CREATES research paper. - Aarhus : [Verlag nicht ermittelbar], ZDB-ID 2490360-7. - Vol. 2014,24 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Source: | ECONIS - Online Catalogue of the ZBW |
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