retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration … relationships. We show that the cointegration component allows capturing well-known features of commodity prices, i.e., upward … provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common …

, Dividenden und Marktkapitalisierung mittels Kointegration und zeigt so eine gegenüber den herkömmlich verwendeten Methoden …