Dynamic Commodity Models: Specification, Estimation, and Simulation
Title | Dynamic Commodity Models: Specification, Estimation, and Simulation PDF eBook |
Author | Walter C. Labys |
Publisher | |
Pages | 392 |
Release | 1973 |
Genre | Coconut oil |
ISBN |
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 ...
Commodity Models for Forecasting and Policy Analysis
Title | Commodity Models for Forecasting and Policy Analysis PDF eBook |
Author | Walter C. Labys |
Publisher | Taylor & Francis |
Pages | 222 |
Release | 2024-02-01 |
Genre | Business & Economics |
ISBN | 100384670X |
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.
Commodity Modeling and Pricing
Title | Commodity Modeling and Pricing PDF eBook |
Author | Peter V. Schaeffer |
Publisher | John Wiley & Sons |
Pages | 345 |
Release | 2008-10-06 |
Genre | Business & Economics |
ISBN | 047031723X |
Commodity Modeling and Pricing provides extensions and applications of state-of-the-art methods for analyzing resource commodity behavior. Drawing from the seminal work of Professor Walter Labys on the development of econometric methods for forecasting commodity prices, this collection of essays features expert contributors ranging from practitioners in private industry, public sector, and nongovernmental organizations to scholars in higher education–all of whom were Labys's former students or collaborators. Filled with in-depth insights and expert advice, Commodity Modeling and Pricing contains the information you need to excel in this demanding environment.
Documentation of the Dynamic World Policy Simulation (DWOPSIM) Model Building Framework
Title | Documentation of the Dynamic World Policy Simulation (DWOPSIM) Model Building Framework PDF eBook |
Author | Vernon Roningen |
Publisher | |
Pages | 64 |
Release | 1992 |
Genre | Agriculture |
ISBN |
Modeling and Estimation of Commodity Price Dynamics
Title | Modeling and Estimation of Commodity Price Dynamics PDF eBook |
Author | Claudio Cina |
Publisher | |
Pages | |
Release | 2011 |
Genre | |
ISBN |
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.
Modeling and Forecasting Primary Commodity Prices
Title | Modeling and Forecasting Primary Commodity Prices PDF eBook |
Author | Walter C. Labys |
Publisher | Taylor & Francis |
Pages | 260 |
Release | 2017-03-02 |
Genre | Business & Economics |
ISBN | 1351917099 |
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.
The Estimation of Dynamic Commodity Models
Title | The Estimation of Dynamic Commodity Models PDF eBook |
Author | David Hallam |
Publisher | |
Pages | 19 |
Release | 1983 |
Genre | Produce trade |
ISBN |