Unbalanced Fractional Cointegration and the No-Arbitrage Condition on Commodity Markets
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- Gilles de Truchis & Florent Dubois, 2014. "Unbalanced Fractional Cointegration and the No-Arbitrage Condition on Commodity Markets," AMSE Working Papers 1445, Aix-Marseille School of Economics, Marseille, France.
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More about this item
Keywordsunbalanced cointegration; fractional cointegration; no-arbitrage condition; local Whittle likelihood; commodity markets;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-11-01 (All new papers)
- NEP-ECM-2014-11-01 (Econometrics)
- NEP-ENE-2014-11-01 (Energy Economics)
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