theoretical variations and different appropriate estimation procedures, it is found that only for few pollutants can the typical …

actors. In this paper, we formulate a new theory able to describe "hedging needs" as well as the role of speculators in the … the sample February 2000 November 2014, using WTI and CFTC data. Our theory is well supported by econometric evidence. In …

panel estimation, recursive and rolling estimation, and alternate data construction methods. The model performs better when …

In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …