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Discerning trends in international metal prices in the presence of non-stationary volatility

Addison, Tony; Ghoshray, Atanu - 2020

volatility of primary commodity prices-metals are no exception. Recent events have led experts to believe that trends have been … for many countries. However, estimating the underlying trend has proven to be difficult, given the persistence and … trends over certain lengths of time remains a contentious issue. We combine robust econometric procedures to calculate the …

Persistent link: https://www.econbiz.de/10012265553

Discerning trends in international metal prices in the presence of nonstationary volatility

Addison, Tony; Ghoshray, Atanu - In: Resource and energy economics 71 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014251874

Heavy metals : might as well jump

Wilmot, Neil A. - In: International Journal of Financial Studies : open … 7 (2019) 2/33, pp. 1-14

metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …

Persistent link: https://www.econbiz.de/10012038566

Trends and Cycles in Historical Gold and Silver Prices

Gil-Alana, Luis A.; Aye, Goodness C.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

The study proposes an alternative modelling specification for the real prices of gold and silver that allows the long run trend and cyclical behaviour to be modelled simultaneously by incorporating two differencing parameter in a fractional integration framework. However, we also consider the...

Persistent link: https://www.econbiz.de/10011272165

Pandemics and their impact on oil and metal prices

Addison, Tony; Ghoshray, Atanu - 2020

We examine the effect of pandemics on selected commodity prices-in particular, those of zinc, copper, lead, and oil. We set up a vector autoregressive model and analyse data since the mid-nineteenth century to determine how prices reacted to pandemics such as the 1918 Spanish Flu, 1957 Asian...

Persistent link: https://www.econbiz.de/10012424144

Pandemics and their impact on oil and metal prices

Addison, Tony; Ghoshray, Atanu - 2020

Persistent link: https://www.econbiz.de/10012320991

How is Volatility in Commodity Markets Linked to Oil Price Shocks?

Ahmadi, Maryam; Behmiri, Niaz Bashiri; Manera, Matteo - 2015

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

Persistent link: https://www.econbiz.de/10011451175