Modeling and Forecasting Primary Commodity PricesThis 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. |
Contents
Introduction | 1 |
History of Commodity Price Analysis | 11 |
Identifying Trends and Breaks | 39 |
Convergence of Commodity Prices | 55 |
Identifying Price Cycles | 71 |
Business Cycle Impacts | 91 |
Color of Commodity Prices | 107 |
Wavelet Models Transforms of Commodity Prices | 125 |
Structural Forecasting Models | 163 |
134 | 169 |
Prospects for the Future | 185 |
| 201 | |
| 208 | |
50 | 218 |
53 | 225 |
| 237 | |
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Common terms and phrases
Agricultural Economics aluminum applied approach autoregressive business cycles chaotic Chapter Cocoa coefficients Coffee cointegration commodity markets commodity price cycles commodity price series common factor convergence copper correlation correlation dimension cotton cycle plus trend cyclical trend model Daubechies wavelets dependence distribution duration dynamics econometric employed endogenous equation estimate evaluated exogenous fractal dimension fractionally integrated frequency function Futures Markets futures prices heteroscedasticity Hurst exponent International Journal of Agricultural Kouassi Kyrtsou Labys lags lead level of resolution linear London Metal Exchange long memory Lyapunov exponents macroeconomic metal prices methods Model Model Model modeling and forecasting noise nonlinear null hypothesis parameters persistence price analysis price behavior price fluctuations price movements random walk rates regression regressors returns series Rice Rubber sample period shocks Soybeans specification stationary statistic stochastic subperiod Table Terraza unit root variables variance variation vector Wheat Wilcoxon Signed-Ranks Test Wool Y₁ Zinc