A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
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- 作者：Sepideh Dolatabadia ; Morten Ø ; rregaard Nielsena ; b ; mon@econ.queensu.ca" class="auth_mail" title="E-mail the corresponding author ; Ke Xua
- 关键词：Backwardation ; Contango ; Deterministic trend ; Fractional cointegration ; Futures markets ; Vector error correction model
- 刊名：Journal of Empirical Finance
- 出版年：2016
- 出版时间：September 2016
- 年：2016
- 卷：38
- 期：part_PB
- 页码：623-639
- 全文大小：1037 K
文摘
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We analyze spot and futures commodity prices with the fractionally cointegrated VAR model.
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The FCVAR model is extended to allow deterministic trends.
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Representation theory for the FCVAR model with deterministic trends is derived.
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The FCVAR model shows more support for a (1,− 1) relation than the usual CVAR model.