This study tested the unbiased pricing hypothesis in the copper, aluminum, nickel, and lead markets for the period October 2011 to May 2021. Wavelets and a time-varying parameter model with Bayesian priors were the primary tools. Each metal market was found to be weak market efficient, the...

I examine the relative information roles among West Texas Intermediate spot crude price and four futures contracts (F1 through F4) with different maturities. Using a cointegrated system with a non-unitary cointegrating vector, I address price discovery by investigating which price is more...

Wavelets based on undifferenced cash and futures log are used to determine causality in the aluminum markets. Wavelets are used versus I(d) processes as daily I(d)s adjusted for conditional heteroskedasticity, are not second-order stationary. Weekly I(d)s are second-order stationary after...

One approach to limiting disclosure risk in public-use microdata is to release multiply-imputed, partially synthetic data sets. These are data on actual respondents, but with confidential data replaced by multiply-imputed synthetic values. When imputing confidential values, a mis-specified model...

In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely the Kilian's index of global real economic activity and the index of OECD...

In this paper we propose a new indicator of monthly global real economic activity, named world steel production. We use world steel production, OECD industrial production index and Kilian's rea index to forecast world real GDP, and key commodity prices. We find that world steel production...

This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially informative quarterly macroeconomic variables for the 33 largest economies,...

This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially informative quarterly macroeconomic variables for the 33 largest economies,...

In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely the Kilian's index of global real economic activity and the index of OECD...

In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely the Kilian's index of global real economic activity and the index of OECD...