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price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The …-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the … find slightly more evidence of price discovery in the spot market. Specifically, using standard likelihood ratio tests, we …

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A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets

Dolatabadi, Sepideh - 2017

price discovery in the spot and futures markets for five non-ferrous metals (aluminum, copper, lead, nickel, and zinc). The …-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the … find slightly more evidence of price discovery in the spot market. Specifically, using standard likelihood ratio tests, we …

Persistent link: https://www.econbiz.de/10012946789