Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets.

The predictive accuracy of various econometrics models, including random walks, vector autoregressive and vector error-correction models, are investigated using daily futures prices of 4 commodities (the S&P500 index, treasury bonds, gold and crude oil).

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Year of publication:	1997
Authors:	Zeng, T. ; Swanson, N.R.
Institutions:	Department of Economics, Pennsylvania State University
Subject:	FORECASTS \| ECONOMIC MODELS \| ECONOMETRICS

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Series:	Pennsylvania State - Department of Economics.
Type of publication:	Book / Working Paper
Notes:	39 pages
Classification:	C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005664200