Econometric modelling of non‐ferrous metal prices

Clinton Watkins and Michael McAleer

Journal of Economic Surveys, 2004, vol. 18, issue 5, 651-701

Abstract: Abstract. This article evaluates the significance of the empirical models and the distributional properties of prices in non‐ferrous metal spots and futures markets published in leading refereed economics and finance journals between 1980 and 2002. The survey focuses on econometric analyses of pricing and return models applied to exchange‐based spot and futures markets for the main industrially used non‐ferrous metals, namely aluminium, copper, lead, nickel, tin and zinc. Published empirical research is evaluated in the light of the type of contract examined, frequency of data used, choice of both dependent and explanatory variables, use of proxy variables, type of model chosen, economic hypotheses tested, methods of estimation and calculation of SEs for inference, reported descriptive statistics, use of diagnostic tests of auxiliary assumptions, use of nested and non‐nested tests, use of information criteria and empirical implications for non‐ferrous metals.

Date: 2004
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