[PDF] Top 20 Models for the price of a storable commodity

... a stochastic structural model where supply evolves as an exogenous mean reverting stochastic process and de6 is deterministic, form mand a one-factor reduced model where the spot price d[r] ... See full document

... ARMA-GARCH models were assessed through log likelihoods and information criteria such as AIC, SIC and HQC while the forecast performances of these ARMA-GARCH models were evaluated using Root Mean Square ... See full document

... Although futures markets started with agricultural products, which can be physically delivered, today, many futures contracts based on financial instruments exist. According to the CFTC (2005) approximately 1.6 billion ... See full document

... While there is little evidence to support farmers and landowners using futures for speculation in the pricing of farmland, three conclusions were noted. Live cattle and Minnesota wheat futures have a significant positive ... See full document

... Table 4 and Table 5 present forecasting errors for the out-of-sample perfor- mance. Results suggest that our commodity price augmented forecasting model remarkably beat the random walk model in every ... See full document

... between commodity price movements and ...theories commodity prices and exhaustible resources by examining simultaneous optimal resource extraction and dynamic capacity ...long-term price and ... See full document

... The relationships between selected study variables is examined by the autoregressive distributed lag model (ARDL) suggested by Pesaran et al. (2001). This method is adopted because of three reasons. Firstly, compared to ... See full document

... food commodity price ...whether commodity markets have become more volatile in recent ...between commodity and crude oil ...whether commodity markets have become more volatile in recent ... See full document

... Inspired by such general equilibrium models, a growing number of empirical works have been conducted to reconcile with the economic mechanism as suggested in those theoretical models. For instance, ... See full document

... Table 4 and Table 5 present forecasting errors for the out-of-sample perfor- mance. Results suggest that our commodity price augmented forecasting model remarkably beat the random walk model in every ... See full document

... the price ex- pectations formulated in this model, storage cannot bring about complete price ...the price gain from stabilization in period 1 is no longer ( bfg ), but rather ( qtf ), which is ... See full document

... A challenge in empirically investigating the behavior of uncertainty, and its relation to macroe- conomic activities is that there is no objective measure of uncertainty. 5 While most existing uncertainty proxies have ... See full document

... (MGARCH) models which have mainly been used hitherto in the analysis financial market ...GARCH models [11] specification, we decompose volatility of food commodities into its main ...MGARCH models ... See full document

... the price transmission process along the wheat commodity chain in the Czech ...this commodity chain were evaluated – wheat fl our and wheat ...analyzed commodity chain, the monitored time ... See full document

... the short contract hedging the remaining inventory. Unlike many studies limited to the liquidation on the spot, the second decision variable allows the trader to benefit from the forward market while optimizing over the ... See full document

... The dominant explanation for Jamaica’s performance switch rests on the economic mismanagement and the socialist agendas of the government lead by Michael Manley. (King 2001, Stephen & Stephen 1986, Sharpley 1983). ... See full document

... that price volatility of a futures contract should increase as a contract approaches its delivery ...futures price volatility in grain markets and that contract maturity was a secondary ...futures ... See full document

... many commodity prices, and Prebisch (1950) and Singer (1950) presented early post-war analysis hypothesizing there was a generalized commodity price trend (using an 1870-1945 ...of commodity ... See full document

... Commodity murabahah belongs to the "deferred contracts" group. A client may, for example request his bank to purchase a car for him on a cost plus basis. Cost here refers to the cash payment for the car ... See full document

... One possible explanation for this lack of consensus is the di¤erent dependence maesures considered. We can identify two major approaches in the commodity litterature. First, several studies, such as Gorton and ... See full document