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

C-Tier
Journal: Journal of Empirical Finance
Year: 2016
Volume: 38
Issue: PB
Pages: 623-639

Authors (3)

Dolatabadi, Sepideh (not in RePEc) Nielsen, Morten Ørregaard (Aarhus Universitet) Xu, Ke (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Technical Details

RePEc Handle
repec:eee:empfin:v:38:y:2016:i:pb:p:623-639
Journal Field
Finance
Author Count
3
Added to Database
2026-02-17