Author: Walter C. Labys
Publisher:
ISBN:
Category : Coconut oil
Languages : en
Pages : 392
Book Description
Deals with the theory and methods required for specifying, estimating, validating, and applying commodity models which describe behavior of a quarterly or annual nature, though certain ...
Dynamic Commodity Models: Specification, Estimation, and Simulation
Author: Walter C. Labys
Publisher:
ISBN:
Category : Coconut oil
Languages : en
Pages : 392
Book Description
Deals with the theory and methods required for specifying, estimating, validating, and applying commodity models which describe behavior of a quarterly or annual nature, though certain ...
Publisher:
ISBN:
Category : Coconut oil
Languages : en
Pages : 392
Book Description
Deals with the theory and methods required for specifying, estimating, validating, and applying commodity models which describe behavior of a quarterly or annual nature, though certain ...
The Estimation of Dynamic Commodity Models
Author: David Hallam
Publisher:
ISBN:
Category : Produce trade
Languages : en
Pages : 19
Book Description
Publisher:
ISBN:
Category : Produce trade
Languages : en
Pages : 19
Book Description
Modeling and Estimation of Commodity Price Dynamics
Author: Claudio Cina
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Commodity prices exhibit different characteristics than traditional asset classes. This paper provides an in-depth analysis of the corresponding price dynamics transferring a time series approach originally proposed by Chan et al. (1992) to the field of commodities. One unrestricted and eight restricted stochastic models are assessed and empirically tested. Besides an incorporated mean reversion feature, the model also allows the volatility to change with the underlying price. Daily data of 22 commodities out of different sectors are taken into consideration. Generic front month future contracts form July 24, 1997 to January 6, 2011 were used for the analysis (3511 observations), further splitting the time series into a bull (2002 - 2006) and bear market regime (2007 - 2008). Generalized Method of Moments (GMM) are applied to estimate the unknown parameters and a &u9672 goodness-of-fit test is run to evaluate which models capture best the dynamics of the corresponding commodities for different market regimes. In line with Geman and Shih (2009) we find that the CEV exponent &u947 plays a very important role in the modeling of commodity price dynamics whereas the mean reversion effect disappears for most of the commodities for the different periods under analysis.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Commodity prices exhibit different characteristics than traditional asset classes. This paper provides an in-depth analysis of the corresponding price dynamics transferring a time series approach originally proposed by Chan et al. (1992) to the field of commodities. One unrestricted and eight restricted stochastic models are assessed and empirically tested. Besides an incorporated mean reversion feature, the model also allows the volatility to change with the underlying price. Daily data of 22 commodities out of different sectors are taken into consideration. Generic front month future contracts form July 24, 1997 to January 6, 2011 were used for the analysis (3511 observations), further splitting the time series into a bull (2002 - 2006) and bear market regime (2007 - 2008). Generalized Method of Moments (GMM) are applied to estimate the unknown parameters and a &u9672 goodness-of-fit test is run to evaluate which models capture best the dynamics of the corresponding commodities for different market regimes. In line with Geman and Shih (2009) we find that the CEV exponent &u947 plays a very important role in the modeling of commodity price dynamics whereas the mean reversion effect disappears for most of the commodities for the different periods under analysis.
Commodity Price Dynamics
Author: Craig Pirrong
Publisher: Cambridge University Press
ISBN: 1139501976
Category : Business & Economics
Languages : en
Pages : 238
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.
Publisher: Cambridge University Press
ISBN: 1139501976
Category : Business & Economics
Languages : en
Pages : 238
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.
Estimation of Dynamic Disequilibrium Models with Rational Expectations: the Case of Commodity Markets
Author: Gangadharrao S. Maddala
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
Book Description
Estimation of the Commodity Storage Model
Commodity Models for Forecasting and Policy Analysis
Author: Walter C. Labys
Publisher: Taylor & Francis
ISBN: 1003846718
Category : Business & Economics
Languages : en
Pages : 222
Book Description
Originally published in 1984 this book remains as relevant as when it was first published. At that time the oil crises of the 1970s and the growing international debt burden highlighted the extent to which events in primary commodity markets continue to influence the economies of developing and industrialized economies alike. Commodity modelling has become a valuable tool in efforts to predict and understand the behaviour of commodity markets and thereby reduce their fluctuations. This book provides an overview of the nature of the different types of commodity model as well as their diverse applications. In non-technical language the reader is introduced to the underlying modelling methodologies, including their advantages, limitations and commodity specific implications. The book will be of interest to commodity economists, traders and analysts, economic planners and those involved in agricultural, mineral and energy modelling.
Publisher: Taylor & Francis
ISBN: 1003846718
Category : Business & Economics
Languages : en
Pages : 222
Book Description
Originally published in 1984 this book remains as relevant as when it was first published. At that time the oil crises of the 1970s and the growing international debt burden highlighted the extent to which events in primary commodity markets continue to influence the economies of developing and industrialized economies alike. Commodity modelling has become a valuable tool in efforts to predict and understand the behaviour of commodity markets and thereby reduce their fluctuations. This book provides an overview of the nature of the different types of commodity model as well as their diverse applications. In non-technical language the reader is introduced to the underlying modelling methodologies, including their advantages, limitations and commodity specific implications. The book will be of interest to commodity economists, traders and analysts, economic planners and those involved in agricultural, mineral and energy modelling.
International Commodity Market Models and Policy Analysis
Author: O. Güvenen
Publisher: Springer Science & Business Media
ISBN: 940091167X
Category : Business & Economics
Languages : en
Pages : 276
Book Description
o. Guvenen, University of Paris IX-Dauphine The aim of this publication is to present recent developments in international com modity market model building and policy analysis. This book is based mainly on the research presented at the XlIth International Conference organised by the Applied Econometric Association (AEA) which was held at the University of Zaragoza in Spain. This conference would not have been possible with out the cooperation of the Department of Econometrics of the University of Zaragoza and its Chairman A.A. Grasa. I would like to express my thanks to all contributors. I am grateful to J.H.P. Paelinck, J.P. Ancot, A.J. Hughes Hallett and H. Serbat for their constructive contributions and comments concerning the structure of the book. vii INTRODUCTION o. Guvenen The challenge of increasing complexity and global interdependence at the world level necessitates new modelling approaches and policy analysis at the macroeconomic level, and for commodities. The evaluation of economic modelling.follows the evolution of international economic phenomena. In that interdependent context there is a growing need for forecasting and simulation tools in the analysis of international primary com modity markets.
Publisher: Springer Science & Business Media
ISBN: 940091167X
Category : Business & Economics
Languages : en
Pages : 276
Book Description
o. Guvenen, University of Paris IX-Dauphine The aim of this publication is to present recent developments in international com modity market model building and policy analysis. This book is based mainly on the research presented at the XlIth International Conference organised by the Applied Econometric Association (AEA) which was held at the University of Zaragoza in Spain. This conference would not have been possible with out the cooperation of the Department of Econometrics of the University of Zaragoza and its Chairman A.A. Grasa. I would like to express my thanks to all contributors. I am grateful to J.H.P. Paelinck, J.P. Ancot, A.J. Hughes Hallett and H. Serbat for their constructive contributions and comments concerning the structure of the book. vii INTRODUCTION o. Guvenen The challenge of increasing complexity and global interdependence at the world level necessitates new modelling approaches and policy analysis at the macroeconomic level, and for commodities. The evaluation of economic modelling.follows the evolution of international economic phenomena. In that interdependent context there is a growing need for forecasting and simulation tools in the analysis of international primary com modity markets.
Recent Developments in Commodity Modeling
Author: Walter C. Labys
Publisher: World Bank Publications
ISBN:
Category : Commercial products
Languages : en
Pages : 57
Book Description
A review of the state of the art of Bank commodity modeling for forecasting and analysis of supplies, demand, and prices.
Publisher: World Bank Publications
ISBN:
Category : Commercial products
Languages : en
Pages : 57
Book Description
A review of the state of the art of Bank commodity modeling for forecasting and analysis of supplies, demand, and prices.
Commodity Models for Forecasting and Policy Analysis
Author: Walter C. Labys
Publisher: Routledge
ISBN: 9780709916161
Category : Commodity exchanges
Languages : en
Pages : 209
Book Description
Publisher: Routledge
ISBN: 9780709916161
Category : Commodity exchanges
Languages : en
Pages : 209
Book Description