COINTEGRATION AND SETTLEMENT OF COMMODITY FUTURES CONTRACTS

DOI10.1017/S1365100599011050MaRDI QIDQ4265811zbMATH OpenOpenAlexFDO

Authors Kenneth A. Foster, Arthur Havenner

Publication date 12 November 2000

Published in Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1365100599011050

zbMATH Keywords

cointegrationcommodity futuresstate-space time series

Mathematics Subject Classification ID

Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(6)

• Agricultural commodity futures trading based on cross-country rolling quantile return signals
• The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data
• Commodity spread option with cointegration
• Component structures of agricultural commodity futures traded on the Tokyo grain exchange
• Modelling and measuring price discovery in commodity markets
• Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework

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