ABSTRACT

Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.

chapter |10 pages

Introduction

chapter 1|26 pages

History of Commodity Price Analysis

part |2 pages

Part 1 Long Term Price Movements

chapter 2|10 pages

Identifying Trends and Breaks

chapter 3|20 pages

Convergence of Commodity Prices

part |2 pages

Part 2 Medium Term Price Movements

chapter 4|20 pages

Identifying Price Cycles

chapter 5|14 pages

Business Cycle Impacts

part |2 pages

Part 3 Short Term Price Movements

chapter 6|18 pages

Color of Commodity Prices

part |2 pages

Part 4 Price Forecasting

chapter 8|14 pages

Noisy Chaotic Dynamics

chapter 9|22 pages

Structural Forecasting Models