Zeng, Tian; Swanson, Norman - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4, pp. 1037-1037
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...
