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  1. Copula-based nonlinear modeling of the law of one price for lumber products

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    Author(s): Barry K. Goodwin; Matthew T. Holt; Gülcan Önel; Jeffrey P. Prestemon
    Date: 2018
    Source: Empirical Economics
    Publication Series: Scientific Journal (JRNL)
    Station: Southern Research Station
    DOI: https://doi.org/10.1007/s00181-017-1235-4
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    Description

    This paper proposes an alternative and potentially novel approach to analyzing the law of one price in a nonlinear fashion. Copula-based models that consider the joint distribution of prices separated by space are developed and applied to weekly prices for lumber products. The copulas capture nonlinearities that arise in the extremes of the joint distributions of price differentials and suggest faster equilibrating adjustments when deviations from parity are extreme.

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    Citation

    Goodwin, Barry K.; Holt, Matthew T.; Önel, Gülcan; Prestemon, Jeffrey P. 2018. Copula-based nonlinear modeling of the law of one price for lumber products. Empirical Economics. 54(3): 1237-1265. 29 p.   https://doi.org/10.1007/s00181-017-1235-4

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    Keywords

    Law of one price · Copulas · Nonlinear time series models

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