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US Coffee C Futures: Some results from test of cointegration and GARCH

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  • Sathye, Milind

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  • Sathye, Milind, 2006. "US Coffee C Futures: Some results from test of cointegration and GARCH," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3).
    • Handle: RePEc:eaa:aeinde:v:6:y:2006:i:3_10
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    1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    2. Philip Garcia & Raymond M. Leuthold & T. Randall Fortenbery & Gboroton F. Sarassoro, 1988. "Pricing Efficiency in the Live Cattle Futures Market: Further Interpretation and Measurement," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 70(1), pages 162-169.
    3. Agbeyegbe, Terence D, 1992. "Common Stochastic Trends: Evidence from the London Metal Exchange," Bulletin of Economic Research, Wiley Blackwell, vol. 44(2), pages 141-151, April.
    4. Stevenson, Richard A & Bear, Robert M, 1970. "Commodity Futures: Trends or Random Walks?," Journal of Finance, American Finance Association, vol. 25(1), pages 65-81, March.
    5. Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    8. Turnovsky, Stephen J., 1979. "Futures markets, private storage, and price stabilization," Journal of Public Economics, Elsevier, vol. 12(3), pages 301-327, December.
    9. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    10. Anthony Mananyi & John J. Struthers, 1997. "Cocoa market efficiency: a cointegration approach," Journal of Economic Studies, Emerald Group Publishing, vol. 24(3), pages 141-151, September.
    11. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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