ABSTRACT
This book provides a comprehensive approach with which to analyze, to model and to forecast the prices of primary commodities traded on more than twenty international markets. As shown in Figures la and b, the wide and frequent nature of price fluctuations is well known. Although some trend patterns may be present in the levels of these series, the log-differences illustrate a pattern that, being quasicyclical, is very difficult to explain. Understanding the nature of these patterns has been an extremely important task for economists dealing with agricultural, energy, forestry, mineral, marine and derivative markets. Changes in the trends and volatility of these prices affect not only commodity producers, purchasers and traders but also the export revenues and national incomes of developed and developing nations. For commodity price analysts, commodity price behavior is unique; not only are price distributions non-normal but the means and variances change over a typical sampling period. The central problem they face is finding an adequate statistical representation for such price behavior. This has led historically to the application of the latest mathematical, statistical and econometric methods.
