International Commodity Market Models and Policy Analysis

International Commodity Market Models and Policy Analysis PDF

Author: O. Güvenen

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 276

ISBN-13: 940091167X

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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.

International Commodity Market Models

International Commodity Market Models PDF

Author: Orhan Güvenen

Publisher: Chapman & Hall

Published: 1991

Total Pages: 360

ISBN-13:

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Part of a series, this volume comprises a selection of methodology-oriented papers presented at the 25th International Conference of the Applied Econometrics Association on International Commodity Market Modelling which took place at the World Bank, Washington, 1988.

Commodity Prices and Markets

Commodity Prices and Markets PDF

Author: Takatoshi Ito

Publisher: University of Chicago Press

Published: 2011-03

Total Pages: 346

ISBN-13: 0226386899

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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.

Commodity Modeling and Pricing

Commodity Modeling and Pricing PDF

Author: Peter V. Schaeffer

Publisher: John Wiley & Sons

Published: 2008-10-06

Total Pages: 345

ISBN-13: 047031723X

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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.

Modeling and Forecasting Primary Commodity Prices

Modeling and Forecasting Primary Commodity Prices PDF

Author: Walter C. Labys

Publisher: Routledge

Published: 2017-03-02

Total Pages: 264

ISBN-13: 1351917080

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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.

Commodity Price Dynamics

Commodity Price Dynamics PDF

Author: Craig Pirrong

Publisher: Cambridge University Press

Published: 2011-10-31

Total Pages: 238

ISBN-13: 1139501976

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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.

Financial Modelling in Commodity Markets

Financial Modelling in Commodity Markets PDF

Author: Viviana Fanelli

Publisher: CRC Press

Published: 2020-01-14

Total Pages: 145

ISBN-13: 1351730959

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Financial Modelling in Commodity Markets provides a basic and self-contained introduction to the ideas underpinning financial modelling of products in commodity markets. The book offers a concise and operational vision of the main models used to represent, assess and simulate real assets and financial positions related to the commodity markets. It discusses statistical and mathematical tools important for estimating, implementing and calibrating quantitative models used for pricing and trading commodity-linked products and for managing basic and complex portfolio risks. Key features: Provides a step-by-step guide to the construction of pricing models, and for the applications of such models for the analysis of real data Written for scholars from a wide range of scientific fields, including economics and finance, mathematics, engineering and statistics, as well as for practitioners Illustrates some important pricing models using real data sets that will be commonly used in financial markets

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