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Forecasting Base Metal Prices with Commodity Currencies

Pincheira, Pablo M. - 2018

zinc. The economic relationship hinges on the present-value theory for exchange rates, a floating exchange rate regime and …, the Chilean peso is heavily affected by fluctuations in the copper price. As all six base metal prices show an important …

Persistent link: https://www.econbiz.de/10012931176

The Unbiased Pricing Hypothesis and The Predictive Content of Base Metal Markets

Clark, Andrew - 2022

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...

Persistent link: https://www.econbiz.de/10014238503

Discerning trends in international metal prices in the presence of non-stationary volatility

Addison, Tony; Ghoshray, Atanu - 2020

Modelling the underlying long-run trend of metal prices is important, given that selected metals are a source of income for many countries. However, estimating the underlying trend has proven to be difficult, given the persistence and volatility of primary commodity prices-metals are no...

Persistent link: https://www.econbiz.de/10012265553

Behavioral Influences in Non-Ferrous Metals Prices

Cummins, Mark - 2014

similar influences on prices. It is shown that psychological price barriers, where there is predictable trading patterns … around psychologically important price points, are important. Specifically, lead, zinc, and aluminium alloy, show anomalous … price reactions in the days particularly following a breach of a $1,000 price point. There is also evidence presented of …

Persistent link: https://www.econbiz.de/10013044102

Forecasting Base Metal Prices with an International Stock Index

Pincheira, Pablo; Hardy, Nicolas; Henriquez, Cristóbal; … - 2021

relies on the present-value model for stock-price determination. This model has the implication of Granger causality from … value of these firms is the price of the commodity they produce and export. Our results are consistent with this theoretical …

Persistent link: https://www.econbiz.de/10013226962

Volatility Forecasting of Non-Ferrous Metal Futures : Covariances, Covariates or Combinations?

Lyocsa, Stefan - 2017

This is the first comprehensive study on the forecasting of the realized volatility of non-ferrous metal futures. Based on 8.5 years of intraday data on copper, zinc, nickel, lead and aluminum, we explore a variety of extensions of the univariate heterogeneous autoregressive (HAR) model and seek...

Persistent link: https://www.econbiz.de/10012947354

The Predictive Relationship Between Exchange Rate Expectations and Base Metal Prices

Pincheira, Pablo M. - 2018

rate has the ability to predict copper returns, a world commodity index and base metal prices. Nevertheless, our results …

Persistent link: https://www.econbiz.de/10012909761

Using Sentiment Surveys to Predict GDP Growth and Stock Returns

Guzman, Giselle - 2012

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10013110732

Practicing the impossible : metal price forecasting

Humphreys, David - 1988

Persistent link: https://www.econbiz.de/10000126763

Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Persistent link: https://www.econbiz.de/10013097543