Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons

B-Tier

Journal: Journal of International Money and Finance

Year: 2014

Volume: 42

Issue: C

Pages: 310-335

Authors (3)

Issler, João Victor (Fundação Getúlio Vargas (FGV)) Rodrigues, Claudia (not in RePEc) Burjack, Rafael (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

The objective of this article is to study (understand and forecast) spot metal price levels and changes at monthly, quarterly, and annual frequencies. Data consists of metal-commodity prices at a monthly and quarterly frequencies from 1957 to 2012, extracted from the IFS, and annual data, provided from 1900 to 2010 by the U.S. Geological Survey (USGS). We also employ the (relatively large) list of co-variates used in Welch and Goyal (2008) and in Hong and Yogo (2009).

Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons

Authors (3)

Abstract

Technical Details