Applying the Multi-variable Threshold Model in American Agricultural Markets-Using Corn, Soybean and Wheat as an example
碩士 === 國立中正大學 === 國際經濟所 === 95 === This article investigates the arbitrage function and price discovery in agricultural futures and spot prices. Using monthly data and multi-variable threshold model (MVTAR), we find that agricultural future and spot markets have a cointegration relationship. The tra...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/75984570365682596181 |