Spatial Market Arbitrage and Threshold Cointegration
Goodwin and Piggott reported that corn and soybean prices in spatially separated markets in North Carolina exhibited threshold cointegration and that commodity prices in different markets may persistently diverge. Here, a multivariate approach is used to test for threshold cointegration and nonlinear cointegration. The results suggest that departures from the law of one price do not persist indefinitely. Copyright 2003, Oxford University Press.
Volume (Year): 85 (2003)
Issue (Month): 4 ()
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