Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a fractionally cointegrated model can provide statistically and/or economically significant forecasts of commodity returns. Specifically, we propose to model and forecast commodity...

In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in fractionally integrated systems. The test statistic is easily calculated without prior knowledge of the integration order of the data, the strength of the cointegrating relations,...

We consider estimation of the cointegrating relation in the stationary fractional cointegration model. This model has found important application recently, especially in financial economics. Previous research has considered a semiparametric narrow-band least squares (NBLS) estimator in the...