By Peter V. Schaeffer
ISBN-10: 047031723X
ISBN-13: 9780470317235
ISBN-10: 1118267907
ISBN-13: 9781118267905
Commodity Modeling and Pricing offers extensions and functions of state of the art tools for studying source commodity habit. Drawing from the seminal paintings of Professor Walter Labys at the improvement of econometric equipment for forecasting commodity costs, this number of essays beneficial properties specialist participants starting from practitioners in deepest undefined, public zone, and nongovernmental businesses to students in greater education–all of whom have been Labys's former scholars or collaborators. full of in-depth insights and professional recommendation, Commodity Modeling and Pricing includes the knowledge you must excel during this challenging environment.Content:
Chapter 1 oblique Inference and lengthy reminiscence: a brand new Truncated?Series Estimation approach (pages 1–29): Armand Sadler, Jean?Baptiste Lesourd and Ve?layoudom Marimoutou
Chapter 2 Procyclicality of basic Commodity costs: A Stylized truth? (pages 30–51): A. Behrooz Afrasiabi
Chapter three Nonlinear positive aspects of Comovements among Commodity costs and Inflation (pages 52–64): Catherine Kyrtsou
Chapter four The Oil rate and the greenback Reconsidered (pages 65–76): Sadek Melhem and Michel Terraza
Chapter five Time?Varying Ratios of fundamental and Scrap steel costs: significance of Inventories (pages 77–102): Irene M. Xiarchos
Chapter 6 steel costs and the provision of garage (pages 103–117): Paul Crompton and Irene M. Xiarchos
Chapter 7 trying out for Temporal Asymmetry within the steel Price?Stock dating (pages 118–135): Eugene Kouassi
Chapter eight Do Fluctuations in Wine shares have an effect on Wine costs? (pages 136–166): James O. Bukenya
Chapter nine Dynamic Quadratic Programming in technique keep an eye on (pages 167–175): Bruce A. Bancroft
Chapter 10 toxins Taxes and value keep watch over within the Us Coal industry: A hire Minimization version (pages 176–184): Chin W. Yang and Ming?Jeng Hwang
Chapter eleven A Forecasting Simulation of Coal in Indonesia's power destiny (pages 185–194): Ukar W. Soelistijo
Chapter 12 Structural Decomposition research of alterations in fabric call for (pages 195–207): Adam Rose and Chia?Yon Chen
Chapter thirteen Linking exchange and the surroundings in China (pages 209–228): Haixiao Huang
Chapter 14 serious wishes in China's Water assets (pages 229–246): Andres Liebenthal
Chapter 15 Public enter in Rural Land maintenance: Modeling choice (pages 247–266): Robert J. Johnston and Kelly Giraud Cullen
Chapter sixteen African ladies in Mining Partnerships (pages 267–277): Brigitte Bocoum
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Extra info for Commodity Modeling and Pricing: Methods for Analyzing Resource Market Behavior
Sample text
If we remove the components with period longer than 5 years, the relation remains positive and significant. However, if we continue removing the components longer than 4 years (47 months), the relation will no longer be significant. 3b Aggregate Metal Price Index, Low-Pass Filtering do not account for the procyclicality of agricultural prices. Our conclusion is that over the 2- to 5-year variations, these aggregate price series are procyclical. In other words, after filtering out the impacts of variations at either end of the spectrum, the aggregate series have a positive comovement with industrial activity.
The purpose of this study is to document the procyclicality of primary commodity prices. We do this both for aggregate commodity price indexes and for the individual prices of a select group of commodities. These include important commodities such as petroleum and metals such as copper, lead, zinc, aluminum, and gold. There are many empirical issues in establishing stylized facts. The literature on wages can serve as a guide in tackling these issues. ” Needless to say, this simple, contemporaneous, and unconditional correlation is not meant to be interpreted as a structural relation, but only as one stylized fact that the subsequently developed models of business cycles is required to replicate.
1996). Introduction to Statistical Time Series. New York: Wiley-Interscience. , and Tauchen, G. (1996). ” Econometric Theory 12: 657–681. , and H. White. (1988). A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models. Oxford, UK: Basil Blackwell. , and S. Porter-Hudak. (1983). “The Estimation and Application of Long Memory Time Series Models,” Journal of Time Series Analysis 4: 221–238. Gourieroux, C. (1999). 2: 61–64. , and J. Jasiak. (1999). ca/∼jasiakj. , and A. Monfort. (1995a).
Commodity Modeling and Pricing: Methods for Analyzing Resource Market Behavior by Peter V. Schaeffer
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