New Book Provides Insights into the Modeling and Forecasting of Primary Commodity Prices.DUBLIN, Ireland -- Research and Markets (http://www.researchandmarkets.com/reports/c48560) has announced the addition of Modeling and Forecasting Primary Commodity Prices to their offering. Recent economic growth in China and other Asian countries Noun 1. Asian country - any one of the nations occupying the Asian continent Asian nation country, land, state - the territory occupied by a nation; "he returned to the land of his birth"; "he visited several European countries" has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric e·con·o·met·rics n. (used with a sing. verb) Application of mathematical and statistical techniques to economics in the study of problems, the analysis of data, and the development and testing of theories and models. methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet (mathematics) wavelet - A waveform that is bounded in both frequency and duration. Wavelet tranforms provide an alternative to more traditional Fourier transforms used for analysing waveforms, e.g. sound. estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions Correlation Dimension An estimate of the Fractal Dimension which measures the probability that two points chosen at random will be within a certain distance of each other, and examines how this probability changes as the distance is increased. , Lyapunov exponents Lyapunov Exponents A measure of the dynamics of an attractor. Each dimension has a Lyapunov exponent. A positive exponent measures sensitive dependence on initial conditions, or how much our forecasts can diverge based upon different estimates of starting conditions. , fractional integration and rescaled range The rescaled range is a statistical measure of the variability of a time series introduced by the British hydrologist Harold Edwin Hurst. It is calculated from the dividing the range of the values exhibited in a portion of the time series by the standard deviation of the values over the . The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets. Introduction History of Commodity Price Analysis Long Run Price Movements: Identifying trends and breaks Convergence of commodity prices Medium Run Price Movements: Identifying price cycles Business cycle impacts Short Run Price Movements: Color of commodity prices Wavelet models in the time frequency domain Price Forecasting: Noisy chaotic dynamics Structural forecasting models Prospects for the future Appendix: resources for future research Bibliography Index For more information visit http://www.researchandmarkets.com/reports/c48560 |
|
||||||||||||
Printer friendly
Cite/link
Email
Feedback
Reader Opinion