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~person:"Gutierrez, Alfonso"
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Threshold Autoregressive Models of the Commodities Futures Basis
Gutierrez, Alfonso
;
Coakley, Jerry
;
Kellard, Neil
-
Society for Computational Economics - SCE
-
2006
backwardation regime behave like a random walk. We conclude that significant differences in
basis
dynamics
are present among …
Persistent link: https://www.econbiz.de/10005132607
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