Law of One Price in International Commodity Markets: A Fractional Cointegration Analysis
用分数协整方法检验国际商品市场的一价定律，发现九对价格序列中有八对支持该定律，而标准协整只发现三对。
This paper examine the Law of One Price (LOP) in the International Commodity markets using a fractional cointegration analysis. Out of nine pairs of price series examined, fractional cointegration supports the existence of the LOP in eight cases as compared to three cases as in standard cointegration process.