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A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
16 references·0 citing·43 second hop
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets (2015)A fractionally cointegrated VAR model wit…Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2012)Likelihood Inference for a Fr…Modelling and measuring price discovery in commodity markets (2010)Modelling and measuring price…Likelihood inference for a nonstationary fractional autoregressive model (2010)Likelihood inference for a no…A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES (2008)A REPRESENTATION THEORY FOR A…Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly (2001)Rethinking an old empirical p…Equilibrium Forward Curves for Commodities (2000)Equilibrium Forward Curves fo…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Arbitrage, Cointegration, and…The long memory of the forward premium (1994)The long memory of the forwar…Futures market efficiency: Evidence from cointegration tests (1991)Futures market efficiency: Ev…Bivariate garch estimation of the optimal commodity futures Hedge (1991)Bivariate garch estimation of…The empirical evidence on the efficiency of forward and futures foreign exchange markets (1988)The empirical evidence on the…Evaluating Natural Resource Investments (1985)Evaluating Natural Resource I…Price Movements and Price Discovery in Futures and Cash Markets (1983)Price Movements and Price Dis…Speculation and Economic Stability (1976)Speculation and Economic Stab…Speculation and Economic Stability (1939)Speculation and Economic Stab…Review of Economic Studies (2010)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Limits to arbitrage and hedging: Evidence from commodity markets (2013)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Multiple local whittle estimation in stationary systems (2008)The impact of geopolitical risk on the behavior of oil prices and freight rates (2023)The Interest Rate Parity Theorem: A Reinterpretation (1973)Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve (2004)The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality (2008)Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust) (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A test for constant correlations in a multivariate GARCH model (2000)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin (2019)Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Options, Futures and Other Derivatives (2003)Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates (2005)Oil Prices and the Stock Market (2012)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)Entry and Exit Decisions under Uncertainty (1989)Irreversibility, Uncertainty, and Investment (1990)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Bounds testing approaches to the analysis of level relationships (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Asset storability and price discovery in commodity futures markets: A new look (2001)Some Recent Developments in Futures Hedging (2002)An analysis of euro area sovereign CDS and their relation with government bonds (2015)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy? (2015)Long Memory Interdependency and Inefficiency in Bitcoin Markets (2018)A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets (2019)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Strategic and Tactical Value of Commodity Futures (2006)Financialization of Commodity Markets (2013)
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References

  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1939Speculation and Economic Stability913 cited
  • 1976Speculation and Economic Stability806 cited
  • 1991Bivariate garch estimation of the optimal commodity futures Hedge729 cited
  • 1983Price Movements and Price Discovery in Futures and Cash Markets641 cited
  • 2000Equilibrium Forward Curves for Commodities475 cited
  • 1995Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets315 cited
  • 2012Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model308 cited
  • 2008A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES249 cited
  • 1988The empirical evidence on the efficiency of forward and futures foreign exchange markets235 cited
  • 1994The long memory of the forward premium212 cited
  • 2010Modelling and measuring price discovery in commodity markets201 cited
  • 2001Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly199 cited
  • 2010Likelihood inference for a nonstationary fractional autoregressive model

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184 cited
  • 1991Futures market efficiency: Evidence from cointegration tests175 cited
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