{"id":"https://openalex.org/W1552158488","doi":null,"title":"Unbalanced Fractional Cointegration and the No-Arbitrage Condition on Commodity Markets","display_name":"Unbalanced Fractional Cointegration and the No-Arbitrage Condition on Commodity Markets","publication_year":2014,"publication_date":"2014-09-01","ids":{"openalex":"https://openalex.org/W1552158488","mag":"1552158488"},"language":"en","primary_location":{"id":"pmh:oai:RePEc:aim:wpaimx:1445","doi":null,"is_oa":false,"landing_page_url":"http://www.amse-aixmarseille.fr/sites/default/files/_dt/2012/wp_2014_-_nr_45.pdf","pdf_url":"http://www.amse-aixmarseille.fr/sites/default/files/_dt/2012/wp_2014_-_nr_45.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://shs.hal.science/halshs-01065775","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5010558575","display_name":"Gilles de Truchis","orcid":"https://orcid.org/0000-0001-9908-3122","observed_orcids":["https://orcid.org/0000-0001-9908-3122"]},"institutions":[{"id":"https://openalex.org/I4210129108","display_name":"Aix-Marseille Sciences Economiques","ror":"https://ror.org/02ek9wp67","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I21491767","https://openalex.org/I4210129108","https://openalex.org/I4210150854"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Gilles de Truchis","raw_affiliation_strings":["Groupement de Recherche en \u00c9conomie Quantitative d'Aix-Marseille"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Groupement de Recherche en \u00c9conomie Quantitative d'Aix-Marseille","institution_ids":["https://openalex.org/I4210129108"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5071645262","display_name":"Florent Dubois","orcid":"https://orcid.org/0000-0002-1938-2155","observed_orcids":["https://orcid.org/0000-0002-1938-2155"]},"institutions":[{"id":"https://openalex.org/I4210129108","display_name":"Aix-Marseille Sciences Economiques","ror":"https://ror.org/02ek9wp67","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I21491767","https://openalex.org/I4210129108","https://openalex.org/I4210150854"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Florent Dubois","raw_affiliation_strings":["Groupement de Recherche en \u00c9conomie Quantitative d'Aix-Marseille"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Groupement de Recherche en \u00c9conomie Quantitative d'Aix-Marseille","institution_ids":["https://openalex.org/I4210129108"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I4210129108"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7490000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7490000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.09309999644756317,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.03880000114440918,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/local-whittle-estimator","display_name":"local Whittle estimator","score":0.8069999814033508},{"id":"https://openalex.org/keywords/no-arbitrage","display_name":"no-arbitrage","score":0.8560000061988831},{"id":"https://openalex.org/keywords/volatility","display_name":"volatility","score":0.382999986410141},{"id":"https://openalex.org/keywords/long-range-dependence","display_name":"long-range dependence","score":0.953000009059906},{"id":"https://openalex.org/keywords/order-of-integration","display_name":"order of integration","score":0.5590000152587891},{"id":"https://openalex.org/keywords/cointegration-tests","display_name":"cointegration tests","score":0.5360000133514404},{"id":"https://openalex.org/keywords/commodity-markets","display_name":"commodity markets","score":0.6570000052452087},{"id":"https://openalex.org/keywords/long-run-relationship","display_name":"long-run relationship","score":0.6320000290870667}],"concepts":[{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.9214529991149902},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7612415552139282},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.6615262031555176},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.651111364364624},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.623421847820282},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.563938558101654},{"id":"https://openalex.org/C175223733","wikidata":"https://www.wikidata.org/wiki/Q1047888","display_name":"Spot contract","level":3,"score":0.5459132194519043},{"id":"https://openalex.org/C64341305","wikidata":"https://www.wikidata.org/wiki/Q4919225","display_name":"Bivariate analysis","level":2,"score":0.5204960703849792},{"id":"https://openalex.org/C167416602","wikidata":"https://www.wikidata.org/wiki/Q2859660","display_name":"Statistical arbitrage","level":5,"score":0.513268232345581},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.4526018500328064},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.4319087266921997},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3431319296360016},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.29253867268562317},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.17177137732505798},{"id":"https://openalex.org/C142450864","wikidata":"https://www.wikidata.org/wiki/Q629941","display_name":"Arbitrage pricing theory","level":3,"score":0.11661577224731445},{"id":"https://openalex.org/C42854785","wikidata":"https://www.wikidata.org/wiki/Q2154735","display_name":"Risk arbitrage","level":4,"score":0.08903425931930542},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"pmh:oai:RePEc:aim:wpaimx:1445","doi":null,"is_oa":false,"landing_page_url":"http://www.amse-aixmarseille.fr/sites/default/files/_dt/2012/wp_2014_-_nr_45.pdf","pdf_url":"http://www.amse-aixmarseille.fr/sites/default/files/_dt/2012/wp_2014_-_nr_45.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"mag:1552158488","doi":null,"is_oa":false,"landing_page_url":"https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-01065775","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:HAL:halshs-01065775v1","doi":null,"is_oa":true,"landing_page_url":"https://shs.hal.science/halshs-01065775","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4405252976","host_organization_name":"Centre pour la Communication Scientifique Directe","host_organization_lineage":["https://openalex.org/I4405252976"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"2014","raw_type":"info:eu-repo/semantics/preprint"},{"id":"pmh:oai:RePEc:hal:wpaper:halshs-01065775","doi":null,"is_oa":false,"landing_page_url":"https://shs.hal.science/halshs-01065775/document","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"}],"best_oa_location":{"id":"pmh:oai:HAL:halshs-01065775v1","doi":null,"is_oa":true,"landing_page_url":"https://shs.hal.science/halshs-01065775","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4405252976","host_organization_name":"Centre pour la Communication Scientifique Directe","host_organization_lineage":["https://openalex.org/I4405252976"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"2014","raw_type":"info:eu-repo/semantics/preprint"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":71,"referenced_works":["https://openalex.org/W1494825236","https://openalex.org/W1536208910","https://openalex.org/W1550075638","https://openalex.org/W1567883602","https://openalex.org/W1574338132","https://openalex.org/W1588074544","https://openalex.org/W1607052612","https://openalex.org/W1896992559","https://openalex.org/W1907007224","https://openalex.org/W1967985636","https://openalex.org/W1972365232","https://openalex.org/W1973884078","https://openalex.org/W1978850860","https://openalex.org/W1990845510","https://openalex.org/W1992538735","https://openalex.org/W2001350935","https://openalex.org/W2004917856","https://openalex.org/W2007135105","https://openalex.org/W2007216649","https://openalex.org/W2010451424","https://openalex.org/W2010821417","https://openalex.org/W2018752896","https://openalex.org/W2019388752","https://openalex.org/W2025700030","https://openalex.org/W2026039938","https://openalex.org/W2034548275","https://openalex.org/W2034769681","https://openalex.org/W2036804023","https://openalex.org/W2042090269","https://openalex.org/W2042121815","https://openalex.org/W2045528145","https://openalex.org/W2056081085","https://openalex.org/W2056507862","https://openalex.org/W2063827883","https://openalex.org/W2065541420","https://openalex.org/W2070916880","https://openalex.org/W2078162703","https://openalex.org/W2083294945","https://openalex.org/W2086736386","https://openalex.org/W2087852394","https://openalex.org/W2090879268","https://openalex.org/W2095622145","https://openalex.org/W2096903091","https://openalex.org/W2100924017","https://openalex.org/W2102591969","https://openalex.org/W2107168615","https://openalex.org/W2110603299","https://openalex.org/W2111657239","https://openalex.org/W2113515280","https://openalex.org/W2132428800","https://openalex.org/W2149485917","https://openalex.org/W2151279465","https://openalex.org/W2151773821","https://openalex.org/W2157628315","https://openalex.org/W2158045507","https://openalex.org/W2160293359","https://openalex.org/W2163627994","https://openalex.org/W2164599393","https://openalex.org/W2165542619","https://openalex.org/W2173973354","https://openalex.org/W2178452869","https://openalex.org/W2247784318","https://openalex.org/W2272262202","https://openalex.org/W2993845287","https://openalex.org/W3021668573","https://openalex.org/W3122597312","https://openalex.org/W3123326930","https://openalex.org/W3123551008","https://openalex.org/W3123693017","https://openalex.org/W3123726892","https://openalex.org/W3125117666"],"related_works":["https://openalex.org/W2962878423","https://openalex.org/W4244253010","https://openalex.org/W1907007224","https://openalex.org/W7095878565","https://openalex.org/W2111778557","https://openalex.org/W2042121815","https://openalex.org/W1588074544","https://openalex.org/W2070916880","https://openalex.org/W3121162379","https://openalex.org/W7097092214"],"abstract_inverted_index":{"A":[0],"necessary":[1],"condition":[2,144,166,175,201,286],"for":[3,118,198,283],"two":[4],"time":[5,68,249],"series":[6,188],"to":[7,46,141,154,196,222,281],"be":[8,33,58,239],"nontrivially":[9],"cointegrated":[10],"is":[11,116,131,152],"the":[12,23,30,36,41,50,67,91,96,99,104,108,111,119,123,142,156,160,181,186,199,208,212,217,248,251,256,263,284,288],"equality":[13],"of":[14,26,29,64,66,79,107,122,135,159,185,204,211,245,247,274],"their":[15,177],"respective":[16],"integration":[17,27,105,224],"orders.":[18],"Nonetheless,":[19,232],"in":[20,49],"some":[21],"cases,":[22],"apparent":[24],"unbalance":[25,97],"orders":[28,106,225],"observables":[31],"can":[32,57,214,238],"misleading":[34],"and":[35,103,110,126,149,169,228,258,292],"cointegration":[37,48,83,205,252,260,277],"theory":[38,253],"applies":[39,254],"all":[40,255],"same.":[42],"This":[43],"situation":[44],"refers":[45],"unbalanced":[47,81,223,259,275],"sense":[51],"that":[52,194,279],"balanced":[53,235],"long":[54,100,182],"run":[55,101],"relationship":[56,193,237],"recovered":[59,240],"by":[60,133,202,241],"an":[61,173,242],"appropriate":[62,243],"filtering":[63,244],"one":[65,246],"series.":[69,231,265],"In":[70,266],"this":[71,267],"paper,":[72,268],"we":[73,269],"suggest":[74],"a":[75,87,127,191,234,271],"local":[76],"Whittle":[77],"estimator":[78,273],"bivariate":[80],"fractional":[82,276],"systems.":[84],"Focusing":[85],"on":[86,176],"degenerating":[88],"band":[89],"around":[90],"origin,":[92],"it":[93],"estimates":[94],"jointly":[95],"parameter,":[98],"coefficient":[102],"regressor":[109],"cointegrating":[112],"errors.":[113],"Its":[114],"consistency":[115],"demonstrated":[117],"stationary":[120],"regions":[121],"parameter":[124],"space":[125],"finite":[128],"sample":[129],"analysis":[130],"conducted":[132],"means":[134,203],"Monte":[136],"Carlo":[137],"experiments.":[138],"An":[139],"application":[140],"no-arbitrage":[143,165,200,285],"between":[145,167,226,262,287],"crude":[146,289],"oil":[147,290],"spot":[148,168,227,291],"futures":[150,293],"prices":[151,171],"proposed":[153],"illustrate":[155],"empirical":[157],"relevance":[158],"developed":[161],"estimator.":[162],"Non-technical":[163],"abstract:The":[164],"future":[170,218,229],"implies":[172],"analogous":[174],"underlying":[178],"volatilities.":[179,294],"Interestingly,":[180],"memory":[183],"behavior":[184],"volatility":[187,213,230],"also":[189],"involves":[190],"long-run":[192,236],"allows":[195,280],"test":[197,282],"techniques.":[206],"Unfortunately,":[207],"persistent":[209],"nature":[210],"vary":[215],"with":[216],"maturity,":[219],"thereby":[220],"leading":[221],"if":[233],"series,":[250],"same":[257],"operates":[261],"raw":[264],"introduce":[270],"new":[272],"systems":[278]},"counts_by_year":[],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
