Author: Scott Wesley BarnhartPublisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 238
Book Description
An Investigation Into the Causes of Non-martingale Behavior in Commodity Futures Prices
Author: Scott Wesley BarnhartPublisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 238
Book Description
Dissertation Abstracts International
Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 682
Book Description
Commodity Price Dynamics
Author: Craig PirrongPublisher: Cambridge University Press
ISBN: 1139501976
Category : Business & Economics
Languages : en
Pages : 239
Book Description
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
American Doctoral Dissertations
Author: Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 574
Book Description
Modeling and Forecasting Primary Commodity Prices
Author: Walter C. LabysPublisher: Taylor & Francis
ISBN: 1351917099
Category : Business & Economics
Languages : en
Pages : 260
Book Description
Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.
Comprehensive Dissertation Index
Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 978
Book Description
An investigation into the causes of non-martingale behavoir in commodity futures prices
Author: Scott Wesley BarnhartPublisher:
ISBN:
Category :
Languages : en
Pages : 119
Book Description
Proceedings of the Annual Meeting of the Eastern Finance Association
Author: Eastern Finance Association (U.S.). MeetingPublisher:
ISBN:
Category : Finance
Languages : en
Pages : 818
Book Description
Performance Of Commodity Derivatives Market In India An Analytical Study
Author: Dr. Shaik masoodPublisher: Archers & Elevators Publishing House
ISBN: 9388805607
Category : Antiques & Collectibles
Languages : en
Pages :
Book Description
Commodity Prices and Markets
Author: Takatoshi ItoPublisher: University of Chicago Press
ISBN: 0226386899
Category : Business & Economics
Languages : en
Pages : 346
Book Description
Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.