This study focuses on the question whether nonlinear transformation of lagged time series values and residuals are able to systematically improve the average forecasting performance of simple Autoregressive models. Furthermore it investigates the potential superior forecasting results of a...

In this paper we model the dynamics of 100 years long monthly price series of eight non-ferrous and precious metals. Applying the state space framework we impose and identify two common factors related to non-ferrous and precious metals, respectively, which exhibit quite distinct autoregressive...