(US) to domestic market (Italy).The time series analysis is used to test the structural breaks, the co-integration and …

due to publication bias. Cointegration is more prevalent for maize market pairs and less prevalent for rice market pairs …

patterns. Secondly, the interdependence across prices is specified and estimated adopting appropriate cointegration techniques. …

determining the relationship among markets remains unclear. The cointegration framework, OLS and principal component regressions … are applied in order to investigate the influence of geographical distance on the cointegration relationship between … relation between distance and the elasticity of cointegration. Moreover, the region in which the market is located and a better …

relationships are assessed using a cointegration framework. Specifically, we use a novel multivariate exogenous regime …-switching vector error correction model and employ a recently developed extension of Johansen’s cointegration estimation method. We …

behind the observed patterns. Secondly, the interdependence across prices is estimated adopting appropriate cointegration … first differences or explosive roots. A long-run (cointegration) relationship occurs among prices of the same commodity …

employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …