Arbitrage, market definition and monitoring a time series approach
- Publisher: Brunel University
Arbitrage | Cointegration | Competition | Equilibrium price adjustment | Stationarity | Stochastic trend | Weak exogeneity
This article considers the application to regional price data of time series methods to test stationarity, multivariate cointegration and exogeneity. The discovery of stationary price differentials in a bivariate setting implies that the series are rendered stationary b...