The predictive accuracy of various econometric models, including random walks, vector-autoregressive and vector-error-correction models, are investigated using daily futures prices of four commodities (the S&P 500 index, treasury bonds, gold, and crude oil). All models are estimated using a...

The predictive accuracy of various econometric models, including random walks, vector-autoregressive and vector-error-correction models, are investigated using daily futures prices of four commodities (the S&P 500 index, treasury bonds, gold, and crude oil). All models are estimated using a...

The predictive accuracy of various econometric models, including random walks, vector-autoregressive and vector-error-correction models, are investigated using daily futures prices of four commodities (the S&P 500 index, treasury bonds, gold, and crude oil). All models are estimated using a...