Mathematics and Financial Economics

, Volume 13, Issue 1, pp 87–114 | Cite as

Cointegration in continuous time for factor models

  • Fred Espen BenthEmail author
  • Andre Süss


We develop cointegration for multivariate continuous-time stochastic processes, both in finite and infinite dimension. Our definition and analysis are based on factor processes and operators mapping to the space of prices and cointegration. The focus is on commodity markets, where both spot and forward prices are analysed in the context of cointegration. We provide many examples which include the most used continuous-time pricing models, including forward curve models in the Heath–Jarrow–Morton paradigm in Hilbert space.


Cointegration Infinite dimensional stochastic processes Polynomial processes Forward prices Commodity markets 

JEL Classification

C02 C32 G13 Q02 Q40 


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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of OsloOsloNorway
  2. 2.Centre for Advanced StudyOsloNorway

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