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Commodity exchange
deterministic trend
34
Deterministic trend
20
Time series analysis
17
Zeitreihenanalyse
17
Estimation theory
13
Schätztheorie
13
Cointegration
10
Deterministic Trend
9
nonstationarity
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consistency
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fractional process
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generalized polynomial trend
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noninvertibility
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Schätzung
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backwardation
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contango
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fractional cointegration
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futures markets
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vector error correction model
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currency union
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Dolatabadi, Sepideh
4
Nielsen, Morten Ørregaard
4
Xu, Ke
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CREATES research paper
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Journal of empirical finance
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Queen's Economics Department working paper
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The journal of futures markets
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ECONIS (ZBW)
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1
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh
;
Nielsen, Morten Ørregaard
;
Xu, Ke
-
2014
Persistent link: https://www.econbiz.de/10010394599
Saved in:
2
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
Dolatabadi, Sepideh
;
Nielsen, Morten Ørregaard
;
Xu, Ke
-
2014
representation theory for the FCVAR model with deterministic trends, where we show that the presence of the
deterministic
trend
in …
Persistent link: https://www.econbiz.de/10010381434
Saved in:
3
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
Dolatabadi, Sepideh
;
Nielsen, Morten Ørregaard
;
Xu, Ke
- In:
Journal of empirical finance
38
(
2016
),
pp. 623-639
Persistent link: https://www.econbiz.de/10011663388
Saved in:
4
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
Saved in:
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