Modes of fluctuation in metal futures prices
Thomas J. Urich
Journal of Futures Markets, 2000, vol. 20, issue 3, 219-241
This article examines the stochastic structure of metal futures prices. First, this article presents a stationary multi‐factor model of fluctuations in the futures price curve. Next, the model is extended to allow for time variation in the factors or “modes” of fluctuation. The model is estimated using futures price data for three very different metals: copper, which is an industrial metal; gold, which is a precious metal; and silver, which is in transition from a precious metal to an industrial metal. The estimation results show that the shapes and importance of the various modes of fluctuation for gold and silver are much different from those for copper. Gold and silver futures price curves can be adequately modeled as a time‐varying one‐factor model. Copper, however, has a more complicated structure and should be modeled as a time‐varying two‐ or three‐factor model. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:219–242, 2000
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:20:y:2000:i:3:p:219-241
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314
Access Statistics for this article
Journal of Futures Markets is currently edited by Robert I. Webb
More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().