Arbitrage, market definition and monitoring a time series approach

Article English OPEN
Burke, S; Hunter, J;
(2012)
  • Publisher: Brunel University
  • Subject: 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... View more
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