Arendarski, Piotr; Postek, Łukasz - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2012
This paper explores cointegration among three of the most popular agriculture soft commodities (corn, soya and wheat) and its potential usefulness for dynamic asset allocation strategies. Johansen tests indicate that natural logarithms of weekly prices of corn, soya and wheat futures are...