Blar i Discussion papers (SAM) på emneord "time-series cointegration"
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Integration in the English wheat market 1770-1820
(Discussion paper;12/2013, Working paper, 2013-06)Cointegration analysis has been used widely to quantify market integration through price arbitrage. We show that total price variability can be decomposed into: (i) magnitude of price shocks; (ii) correlation of price ...