Modeling and Forecasting Primary Commodity Prices

Contents: Introduction; History of Commodity Price Analysis. Long Run Price Movements: Identifying trends and breaks; Convergence of commodity prices. Medium Run Price Movements: Identifying price cycles; Business cycle impacts. Short Run Price Movements: Color of commodity prices; Wavelet models in the time frequency domain. Price Forecasting: Noisy chaotic dynamics; Structural forecasting models; Prospects for the future; Appendix: resources for future research; Bibliography; Index.

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• Investimentos e obrigações
• Economia monetária

Forecasting Primary Commodity Prices;series;Commodity Price Series;Price Series;hypothesis;Unit Roots;unit;STS Approach;root;Commodity Price;time;Price Cycles;cycles;Model Model Model Model Model;structural;STS;break;AA AA AA;lyapunov;STS Model;AA AA;Multi-resolution Analysis;Multiresolution Analysis;Time Trend Specification;AA AA AA AA;Daubechies Wavelets;Endogenous Break Tests;Unit Root Null Hypothesis;RR RR;Commodity Price Behavior;Hurst Exponent;Father Wavelet;Fractal Dimension;Power Law Exponent