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-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the …
Persistent link: https://www.econbiz.de/10010381431
Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …
Persistent link: https://www.econbiz.de/10010464770
Persistent link: https://www.econbiz.de/10010394599
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 …
Persistent link: https://www.econbiz.de/10012946780
-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the …
Persistent link: https://www.econbiz.de/10012946789