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Fractional cointegration and the false rejection of the law of one price in international commodity markets

Mohanty, Samarendu - In: Journal of agricultural and applied economics 30 (1998) 2, pp. 267-276

Persistent link: https://www.econbiz.de/10001252723

Relationships between US and Canadian wheat prices : cointegration and error correction approach

Mohanty, Samarendu - In: Canadian journal of agricultural economics : CJAE 44 (1996) 3, pp. 265-276

Persistent link: https://www.econbiz.de/10001218261

The effects of various policy regimes in the integration of North American grain markets

Mohanty, Samarendu; Langley, Suchada Vichitakul - 2003

Persistent link: https://www.econbiz.de/10001782792

Fractional Cointegration and the False Rejection of the Law of One Price in International Commodity Markets

Mohanty, Samarendu; Peterson, E. Wesley F.; Smith, … - 1999

This study examines the Law of One Price (LOP) in international commodity markets using fractional cointegration analysis. For proper evaluation of the LOP, fractional cointegration analysis seems to be appropriate because of its flexibility in capturing a wider range of mean reversion behavior...

Persistent link: https://www.econbiz.de/10014206035