Advanced Search
MyIDEAS: Login to save this article or follow this journal

Analysis of price behavior patterns for revenue projections: statistical tests of a copper price time series


Author Info

  • Marcia Athayde Matias

    (University of Brasília)

  • Cesar Augusto Tiburcio Silva

    (University of Brasília)

  • Leonardo Vieira

    (University of Brasília)

Registered author(s):


    In analyzing the projected cash flow of an investment, especially when the main product is a commodity, defining future revenue as a function of the price behavior of this commodity is a widely debated question among academics and financial analysts. This study carries out econometric evaluations based on a historical copper-price series, aiming to verify whether these prices follow some behavior pattern already reported in the literature, especially mean reversion and geometric Brownian motion (GBM). Tests were performed for stationarity, autocorrelation, normality and linearity. These results indicate that copper prices in the interval studied have not followed any identified behavior pattern, suggesting that the models normally used in financial projections have a weak capacity to forecast future copper prices.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    File Function: Full text
    Download Restriction: no

    Bibliographic Info

    Article provided by Fucape Business School in its journal Brazilian Business Review.

    Volume (Year): 2 (2005)
    Issue (Month): 2 (July)
    Pages: 108-123

    as in new window
    Handle: RePEc:bbz:fcpbbr:v:2:y:2005:i:2:p:108-123

    Contact details of provider:
    Postal: Fucape Business School Brazilian Business Review Av. Fernando Ferrari, 1358, Boa Vista CEP 29075-505 Vitória-ES
    Phone: +55 27 4009-4423
    Fax: +55 27 4009-4422
    Web page:
    More information through EDIRC

    Related research

    Keywords: prices; commodity; behavior patterns; copper;


    No references listed on IDEAS
    You can help add them by filling out this form.



    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:bbz:fcpbbr:v:2:y:2005:i:2:p:108-123. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sarah Lasso).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.