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

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).

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Year of publication:	2014
Authors:	Issler, João Victor ; Rodrigues, Claudia ; Burjack, Rafael
Published in:	Journal of International Money and Finance. - Elsevier, ISSN 0261-5606. - Vol. 42.2014, C, p. 310-335
Publisher:	Elsevier
Subject:	Common cycles \| Common features \| Metal commodity prices \| Forecast combination

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Type of publication:	Article
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C5 - Econometric Modeling ; f44 ; F47 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010743963