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Modeling and Forecasting Primary Commodity Prices.
・ISBN 978-0-7546-4629-7 2006 hard GB£ 187.99
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・ISBN 978-1-138-38369-2 2019 paper GB£ 53.99
￥17,103.- (税込) ※（※）価格はご注文時の参考価格となります。
納品価格につきましては書籍の入荷時点で確定となります。
版元の原価改定、外国為替の変動等により異なる場合がございますので、予めご了承下さい。
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★★★
電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-315-24878-3
| 著者・編者 | Labys, Walter C., |
|---|---|
| 出版社 | (Ashgate, UK) |
| ページ数 | 264 pp. |
| 言語 | ENG |
| ニュース番号 | ＜533-L145＞ |
解説
Recent economic growth in China and other Asian 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 methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. 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.