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Author: Walter C. Labys
Publisher:
ISBN:
Category : Coconut oil
Languages : en
Pages : 392
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Book Description
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 ...
Author: Walter C. Labys
Publisher:
ISBN:
Category : Coconut oil
Languages : en
Pages : 392
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Book Description
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 ...
Author: Walter C. Labys
Publisher: Taylor & Francis
ISBN: 1003846718
Category : Business & Economics
Languages : en
Pages : 222
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Book Description
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.
Author: Vernon Roningen
Publisher:
ISBN:
Category : Agriculture
Languages : en
Pages : 64
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Book Description
Author: Peter V. Schaeffer
Publisher: John Wiley & Sons
ISBN: 047031723X
Category : Business & Economics
Languages : en
Pages : 345
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Book Description
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.
Author: Claudio Cina
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
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.
Author: Walter C. Labys
Publisher: Routledge
ISBN: 1351917080
Category : Business & Economics
Languages : en
Pages : 247
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Book Description
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.
Author: David Hallam
Publisher:
ISBN:
Category : Produce trade
Languages : en
Pages : 19
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Book Description
Author: O. Güvenen
Publisher: Springer Science & Business Media
ISBN: 940091167X
Category : Business & Economics
Languages : en
Pages : 276
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Book Description
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.
Author:
Publisher:
ISBN:
Category : Agriculture
Languages : en
Pages : 446
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Book Description
Author: Donald O. Mitchell
Publisher: Cambridge University Press
ISBN: 9780521589840
Category : Business & Economics
Languages : en
Pages : 238
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Book Description
Modern day Malthusians warn that Malthus will ultimately be right: the world will be less and less able to feed itself as populations keep expanding and crop yields seem to have reached a peak. The authors of this volume believe that this pessimism is misplaced, and that there is in fact no worldwide food crisis. On the contrary, they show that the world food situation has improved dramatically over the past three decades: prices of agricultural commodities are at their lowest level in history in real terms and crop output is continuing to rise faster than population. This book provides a much needed and reasoned view on a subject that is too often treated emotionally. The important changes in the international food economy are considered in historical context and provide a basis for projections to 2010. The situation should continue to improve and food should become cheaper than it is today.
