Cointegration analysis of metals futures
โ Scribed by Clinton Watkins; Michael McAleer
- Book ID
- 108453339
- Publisher
- Elsevier Science
- Year
- 2002
- Tongue
- English
- Weight
- 136 KB
- Volume
- 59
- Category
- Article
- ISSN
- 0378-4754
No coin nor oath required. For personal study only.
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CCC 0270-731 41951050573-I 2 'The robustness to conditional heteroskedastic effects and variance shifts is crucial, since, as pointed out by Milonas et al. (1 985), results of futures price dynamics may be biased by variance nonstationarity.
Many researchers have found that spot and futures prices are not cointegrated in some commodity markets, or they are cointegrated but not with a cointegrating vector (1, โซ.)1ืโฌ One interpretation is that disturbances to excess returns have a unit root persistence, which implies that spot and futures
In many empirical studies, both spot and futures prices were shown to contain a stochastic trend. Consequently, it is necessary to examine the possible cointegration relationship between the two prices as suggested by the efficient markets hypothesis. The importance of incorporating the cointegratio