Modelling commodity prices using continuous time models

K. Ben Nowman and Helen Wang

Applied Economics Letters, 2001, vol. 8, issue 5, 341-345

Abstract: Nine continuous time models applied to metal prices are applied, following a recent study of these models on Eurocurrency interest rate data by Nowman (1998). In particular models for copper, gold, nickel, silver and tin are estimated and it is found that the volatility of prices is highly dependent on the level of prices for these metals and is larger than usually assumed in these models.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:8:y:2001:i:5:p:341-345

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DOI: 10.1080/135048501750157602

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