Коинтеграционен анализ на фючърсните цени на кафето
Cointertion analysys of coffee futures prices
Author(s): Nigohos Kanaryan, Valentin GurovSubject(s): Social Sciences, Economy, Education, National Economy, Business Economy / Management, Higher Education , Financial Markets, Public Finances, Accounting - Business Administration, Marketing / Advertising
Published by: Нов български университет
Keywords: Futures prices of coffee; stationarity; cointegration
Summary/Abstract: There are numerous studies on the distributional characteristics of the financial instruments and major asset classes. The empirical results show that certain asset classes and financial instruments are cointegrated. The quant traders widely exploit this feature. We investigate the presence of a cointegration between the futures prices of both Arabica and Robusta. Our results show that the futures prices of both Arabica and Robusta have the basic distributional characteristics of a financial instrument. The futures prices are difference stationary and cointegrated. Thus, one should specify a VECM for trading purposes.
Journal: Годишник Икономика и бизнес
- Issue Year: 4/2019
- Issue No: 1
- Page Range: 81-88
- Page Count: 8
- Language: Bulgarian