Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break
In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among non-agricultura...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2015-12-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | http://dx.doi.org/10.1080/23322039.2015.1012436 |