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Author: Maurice Wilkinson
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 32
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Book Description
Author: Maurice Wilkinson
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 32
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Book Description
Author: Boum-Jong Choe
Publisher: World Bank Publications
ISBN:
Category : Precios
Languages : en
Pages : 28
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Book Description
Author: Mr.David A Reichsfeld
Publisher: International Monetary Fund
ISBN: 1463923899
Category : Business & Economics
Languages : en
Pages : 27
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Book Description
We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures does not depend on the slope of the futures curve, in contrast to the predictions of well-known models of commodity markets. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting doubt on aspersions that uninformed investors participating during bull markets impede the price discovery process.
Author: Walter C. Labys
Publisher:
ISBN: 9780669610512
Category : Agricultural prices
Languages : en
Pages : 356
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Book Description
Author: Anthony F. Herbst
Publisher: Dissertation.com
ISBN: 9780595142996
Category : Business cycles
Languages : en
Pages : 0
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Book Description
Analyzing & Forecasting Future Prices is an advanced and highly practical guide to the latest methods of analyzing and predicting futures prices and applying them to hedging and speculation. Requires minimal mathematics.
Author: Takatoshi Ito
Publisher: University of Chicago Press
ISBN: 0226386899
Category : Business & Economics
Languages : en
Pages : 346
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Book Description
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.
Author: Chakriya Bowman
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
This paper assesses the performance of three types of commodity price forecasts--those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear to be nonstationary and to form a cointegrating relation. Spot prices tend to move toward futures prices over the long run, and error-correction models exploiting this feature produce more accurate forecasts. The analysis indicates that on the basis of statistical- and directional-accuracy measures, futures-based models yield better forecasts than historical-data-based models or judgment, especially at longer horizons.
Author: Manuel Fuchs
Publisher:
ISBN: 9783639368642
Category :
Languages : en
Pages : 68
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Book Description
Commodity futures prices are widely used as a tool for forecasting and predicting future commodity spot prices. Indeed, commodity futures prices do have certain forecasting power. However, their explanation power is strongly limited. In particular, this thesis tests whether WTI and Brent crude oil futures prices can forecast future spot prices accurately. Based on economic theory and two conflicting research views, we apply an OLS regression in order to show the empirical poorness of WTI and Brent crude oil futures prices as forecasting agents of future spot prices. In addition, we reject the null hypothesis of an unbiased and efficient market for the majority of the analyzed WTI and Brent futures contracts. We provide both theoretical and empirical evidence indicating that WTI and Brent futures prices cannot forecast future spot prices accurately.
Author: David E. A. Giles
Publisher:
ISBN: 9780867460582
Category : Commodity exchanges
Languages : en
Pages : 24
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Book Description
Author: Chakriya Bowman
Publisher:
ISBN:
Category : Commodity futures
Languages : en
Pages : 34
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Book Description
