... the augmented Dickey–Fuller test for the presence of unit root, Johansen cointegration test for estimating the cointegration among the variables. Further, in the case of no cointegration found, the study employed the vector autoregression (VAR) model to estimate the long-run relationship and the Granger...

... the Vector Autoregression (VAR) model and verified with Impulse Response Function by testing the null hypothesis, H₀, that there is no return spillover between the equity and commodity futures market. Findings The investors move from equity to commodity when there is a threat...