Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons

João Issler, Claudia Rodrigues and Rafael Burjack

Journal of International Money and Finance, 2014, vol. 42, issue C, 310-335

Abstract: The objective of this article is to study (understand and forecast) spot metal price levels and changes at monthly, quarterly, and annual frequencies. Data consists of metal-commodity prices at a monthly and quarterly frequencies from 1957 to 2012, extracted from the IFS, and annual data, provided from 1900 to 2010 by the U.S. Geological Survey (USGS). We also employ the (relatively large) list of co-variates used in Welch and Goyal (2008) and in Hong and Yogo (2009).

Keywords: Common cycles; Common features; Metal commodity prices; Forecast combination (search for similar items in EconPapers)
JEL-codes: C3 C5 F44 F47 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (40)

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Related works:
Working Paper: Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons (2013)
Working Paper: Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:42:y:2014:i:c:p:310-335

DOI: 10.1016/j.jimonfin.2013.08.017

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