Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Year of publication: |
2015-01
|
---|---|
Authors: | Dolatabadi, Sepideh ; Narayan, Paresh Kumar ; Nielsen, Morten Ørregaard ; Xu, Ke |
Institutions: | Economics Department, Queen's University |
Subject: | commodity markets | economic significance | forecasting | fractional cointegration | futures markets | price discovery | vector error correction model |
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