Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, With an Application to Price Dynamics in Commodity Spot and Futures Markets

Journal of Econometrics - Netherlands
doi 10.1016/j.jeconom.2015.02.039
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective

Journal of Risk and Financial Management
2019English

Time-Varying Spot and Futures Oil Price Dynamics

SSRN Electronic Journal
2010English

Illiquidity Transmission From Spot to Futures Markets

SSRN Electronic Journal
2013English

Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis

Economic Modelling
EconomicsEconometrics
2012English

Accounting for Price Endogeneity in Airline Itinerary Choice Models: An Application to Continental U.S. Markets

2016English

Determinants of Hedging and Risk Premia in Commodity Futures Markets

Journal of Financial and Quantitative Analysis
AccountingEconomicsEconometricsFinance
1989English

Dynamic Welfare Analysis and Commodity Futures Markets Overshooting

1991English

Three Essays on Commodity Futures and Options Markets

English

Futures Trading Activity and Commodity Cash Price Volatility

Journal of Business Finance and Accounting
AccountingManagementFinanceBusiness
2005English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2026 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy