We analyse cointegration in commodity markets, and propose a parametric class of pricing measures which preserves … cointegration for forward prices with fixed time to maturity. We present explicit expressions for the term structure of volatility … cointegrated forward price dynamics using the Heath-Jarrow-Morton modelling idea. In this setting, the concept of cointegration is …

Threshold cointegration is introduced as an econometric technique to model the impact of trade disruptions on spatial … trade disruptions on prices. The threshold cointegration technique that is employed is flexible in that it allows the number …. We innovate on the threshold cointegration technique by selecting a measure of trade disruptions as the threshold …

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

In this article, we propose a cointegration-based Permanent-Transitory decomposition for non-stationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …

In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …