-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the …

Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …

This study examines the existence of Cointegration between the future and spot prices of highly traded currencies in …–Fuller test (ADF), Phillips–Perron test (PP) and Johansen Cointegration test are employed. The result derived from the ADF & PP … test show that the futures prices and spot prices are stationary at 1st difference and Cointegration test proved that there …

for the cointegration rank test are also briefly discussed. In our empirical application we use the data from Figuerola … conclusion from the empirical analysis is that, when using the FCVAR model, there is more support for the cointegration vector (1 …-run backwardation, compared to the results from the non-fractional model. Specifically, we reject the hypothesis that the cointegration …

-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the …