A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets
Year of publication: |
2017
|
---|---|
Authors: | Dolatabadi, Sepideh |
Other Persons: | Nielsen, Morten Ørregaard (contributor) ; Xu, Ke (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Kointegration | Cointegration | Rohstoffderivat | Commodity derivative | VAR-Modell | VAR model | Börsenkurs | Share price | Preis | Price | Schätzung | Estimation | Theorie | Theory |
Extent: | 1 Online-Ressource (20 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Dolatabadi, S., Nielsen, M. Ø. and Xu, K. (2015), A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets. Journal of Futures Markets, 35: 339–356. doi:10.1002/fut.21693 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments Feb 2, 2016 erstellt |
Classification: | C32 - Time-Series Models ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh, (2014)
-
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Dolatabadi, Sepideh, (2015)
-
Nonlinear intermediary pricing in the oil futures market
Bierbaumer, Daniel, (2018)
- More ...
-
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh, (2014)
-
Dolatabadi, Sepideh, (2014)
-
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Dolatabadi, Sepideh, (2015)
- More ...