-series techniques were used which include Cointegration, Vector Error Correction Model (VECM), Impulse Response Functions (IRF) and … Variance Decompositions (VDC). Cointegration analysis, along with the VECM, suggests that interest rates, crude oil prices and … Prices ; Macroeconomic Factors ; Dhaka Stock Exchange ; Cointegration ; VEC …

-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the …

Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …