This paper examines the GARCH effects on the Geweke and Porter-Hudak (GPH) and modified rescaled range (MRR) tests for the analysis of the deviations from the cointegrating relationship among series. The Monte Carlo results show that the MRR test is very robust to the GARCH effects. The GPH test...

The purpose of this paper is to investigate the relationship between US and Canadian wheat futures prices in order to analyse the degree of information spillover between the futures exchanges of both countries. Although considerable research has focused on the relationship between US and...