In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive uni ed treatment of deterministic terms in the additive model Xt = γZt + Yt, where Zt belongs to a large class of...

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of...

The methods used to model the dynamics of spot and futures markets ignore the effects of changes in the cost of carry (COC) on the dynamics of the basis and its rate of convergence. This is of particular importance given the historically low short term interest rates currently experienced in...

Most analysis of agricultural commodity market integration is solely based on price information. However, adding trade data can improve the understanding of interactions between interrelated markets. We link the analysis of price transmission processes between spot and futures markets with trade...