Cointegration analysis of metals futures

DOI10.1016/S0378-4754(01)00409-8zbMath1032.91656MaRDI QIDQ1614018

Clinton Watkins, Michael McAleer

Publication date: 3 September 2002

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

The relationship between China's real estate market and industrial metals futures market: evidence from non-price measures of the real estate market

Cites Work

• Statistical analysis of cointegration vectors
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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