Modeling and Estimation of Commodity Price Dynamics

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  • Modeling and Estimation of Commodity Price Dynamics Book Detail

  • Author : Claudio Cina
  • Release Date : 2011
  • Publisher :
  • Genre :
  • Pages :
  • ISBN 13 :
  • File Size : 36,36 MB

Modeling and Estimation of Commodity Price Dynamics by Claudio Cina PDF Summary

Book Description: Commodity prices exhibit different characteristics than traditional asset classes. This paper provides an in-depth analysis of the corresponding price dynamics transferring a time series approach originally proposed by Chan et al. (1992) to the field of commodities. One unrestricted and eight restricted stochastic models are assessed and empirically tested. Besides an incorporated mean reversion feature, the model also allows the volatility to change with the underlying price. Daily data of 22 commodities out of different sectors are taken into consideration. Generic front month future contracts form July 24, 1997 to January 6, 2011 were used for the analysis (3511 observations), further splitting the time series into a bull (2002 - 2006) and bear market regime (2007 - 2008). Generalized Method of Moments (GMM) are applied to estimate the unknown parameters and a &u9672 goodness-of-fit test is run to evaluate which models capture best the dynamics of the corresponding commodities for different market regimes. In line with Geman and Shih (2009) we find that the CEV exponent &u947 plays a very important role in the modeling of commodity price dynamics whereas the mean reversion effect disappears for most of the commodities for the different periods under analysis.

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Commodity Price Dynamics

Commodity Price Dynamics

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Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilize