Modelling commodity prices using continuous time models

Nine continuous time models applied to metal prices are applied, following a recent study of these models on Eurocurrency interest rate data by Nowman (1998). In particular models for copper, gold, nickel, silver and tin are estimated and it is found that the volatility of prices is highly dependent on the level of prices for these metals and is larger than usually assumed in these models.

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Year of publication:	2001
Authors:	Nowman, K. Ben ; Wang, Helen
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 8.2001, 5, p. 341-345
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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