Department of Economics and Business Economics

A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets

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A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. / Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke.

In: Journal of Empirical Finance, Vol. 38, No. B, 2016, p. 623–639.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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Author

Dolatabadi, Sepideh ; Nielsen, Morten Ørregaard ; Xu, Ke. / A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. In: Journal of Empirical Finance. 2016 ; Vol. 38, No. B. pp. 623–639.

Bibtex

@article{e9bf96418304468aa75687664f7ee780,
title = "A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets",
author = "Sepideh Dolatabadi and Nielsen, {Morten {\O}rregaard} and Ke Xu",
year = "2016",
doi = "10.1016/j.jempfin.2015.11.005",
language = "English",
volume = "38",
pages = "623–639",
journal = "Journal of Empirical Finance",
issn = "0927-5398",
publisher = "Elsevier BV",
number = "B",

}

RIS

TY - JOUR

T1 - A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets

AU - Dolatabadi, Sepideh

AU - Nielsen, Morten Ørregaard

AU - Xu, Ke

PY - 2016

Y1 - 2016

U2 - 10.1016/j.jempfin.2015.11.005

DO - 10.1016/j.jempfin.2015.11.005

M3 - Journal article

VL - 38

SP - 623

EP - 639

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

SN - 0927-5398

IS - B

ER -