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Start Over Author "Holt, Matthew T." Journal empirical economics
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5. Copula-based nonlinear modeling of the law of one price for lumber products.

Author

Goodwin, Barry K., Holt, Matthew T., Önel, Gülcan, and Prestemon, Jeffrey P.

Subjects
LUMBER industry, PURCHASING power parity, NONLINEAR statistical models, WOOD products, COPULA functions, PRICES
Abstract

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. [ABSTRACT FROM AUTHOR]

Published
2018
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