文章基本信息

标题：Common Trends, Common Cycles, and Price Relationships in the International Fiber Market - Evidence from a Seemingly Unrelated Structural Time Series
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作者：Fadiga, Mohamadou L. ; Misra, Sukant K.
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2005
期号：SUPPL
出版社：Food Distribution Research Society
摘要：This study shows that the stochastic process that governs price fluctuations in the international fiber market has transitory and permanent components. The results also indicate structural relationships between cotton price and wool price, wool price and oil price, rayon price and cotton price, and between polyester price and cotton price.
关键词：Unobserved components;state-space;Kalman filter;fiber prices;cofeature