Farkas, Walter; Gourier, Elise; Huitema, Robert; … - 2016 - This version: May 20, 2016
retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration … relationships. We show that the cointegration component allows capturing well-known features of commodity prices, i.e., upward … provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common …
