Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Year of publication: |
August 2015
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Authors: | Cavaliere, Giuseppe ; Nielsen, Morten Ørregaard ; Taylor, Robert |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 557-579
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Subject: | Bootstrap | Efficient market hypothesis | Fractional integration | Score tests | Spot and futures commodity prices | Time-varying volatility | Theorie | Theory | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Rohstoffpreis | Commodity price | Effizienzmarkthypothese | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Bootstrap-Verfahren | Bootstrap approach | Rohstoffmarkt | Commodity market | ARMA-Modell | ARMA model |
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