Economic significance of commodity return forecasts from the fractionally cointegrated VAR model

E-ISSN： 1096-9934|38|2|219-242

ISSN： 0270-7314

Source： THE JOURNAL OF FUTURES MARKETS, Vol.38, Iss.2, 2018-02, pp. : 219-242

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets

THE JOURNAL OF FUTURES MARKETS, Vol. 35, Iss. 4, 2015-04 ,pp. : 339-356

John Wiley & Sons Inc

Access to resources Recommend Favorite

A cointegrated structural VAR model of the Canadian economy

By Crowder William J. Wohar Mark E.

Applied Economics, Vol. 36, Iss. 3, 2004-02 ,pp. : 195-213

Routledge Ltd

Access to resources Recommend Favorite

Some frequency domain properties of fractionally cointegrated processes

By Morana Claudio

Applied Economics Letters, Vol. 11, Iss. 14, 2004-11 ,pp. : 891-894

Routledge Ltd

Access to resources Recommend Favorite

Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance

JOURNAL OF FORECASTING, Vol. 34, Iss. 3, 2015-04 ,pp. : 191-208

John Wiley & Sons Inc

Access to resources Recommend Favorite

Unemployment and real oil prices in Australia: a fractionally cointegrated approach

By Gil-Alana Luis A.

Applied Economics Letters, Vol. 10, Iss. 4, 2003-03 ,pp. : 201-204

Routledge Ltd

Access to resources Recommend Favorite