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Does knowledge of the cost of carry model improve commodity futures price forecasting ability?: A case study using the London Metal Exchange lead contract

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  • Heaney, Richard

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  • Heaney, Richard, 2002. "Does knowledge of the cost of carry model improve commodity futures price forecasting ability?: A case study using the London Metal Exchange lead contract," International Journal of Forecasting, Elsevier, vol. 18(1), pages 45-65.
    • Handle: RePEc:eee:intfor:v:18:y:2002:i:1:p:45-65
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    3. Bessembinder, Hendrik, et al, 1995. "Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure," Journal of Finance, American Finance Association, vol. 50(1), pages 361-375, March.
    4. Sephton, Peter S. & Cochrane, Donald K., 1990. "A note on the efficiency of the London metal exchange," Economics Letters, Elsevier, vol. 33(4), pages 341-345, August.
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    8. Shea, Gary S, 1992. "Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 347-366, July.
    9. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-126, February.
    10. Moore, Michael J & Cullen, Ursula, 1995. "Speculative Efficiency on the London Metal Exchange," The Manchester School of Economic & Social Studies, University of Manchester, vol. 63(3), pages 235-256, September.
    11. Benninga, Simon & Protopapadakis, Aris, 1994. "Forward and Futures Prices with Markovian Interest-Rate Processes," The Journal of Business, University of Chicago Press, vol. 67(3), pages 401-421, July.
    12. Poskitt, Don S, 2000. "Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 77-90, January.
    13. Cornell, Bradford & Reinganum, Marc R, 1981. "Forward and Futures Prices: Evidence from the Foreign Exchange Markets," Journal of Finance, American Finance Association, vol. 36(5), pages 1035-1045, December.
    14. MacDonald, Ronald & Taylor, Mark P, 1988. "Metals Prices, Efficiency and Cointegration: Some Evidence from the London Metal Exchange," Bulletin of Economic Research, Wiley Blackwell, vol. 40(3), pages 235-239, June.
    15. Tim Krehbiel & Lee C. Adkins, 1993. "Cointegration tests of the unbiased expectations hypothesis in metals markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(7), pages 753-763, October.
    16. MacDonald, Ronald & Taylor, Mark P, 1988. "Testing Rational Expectations and Efficiency in the London Metal Exchange," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(1), pages 41-52, February.
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    18. Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 23-42, March.
    19. Milonas, Nikolaos T & Thomadakis, Stavros B, 1997. "Convenience Yield and the Option to Liquidate for Commodities with a Crop Cycle," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 24(2), pages 267-283.
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    Cited by:

    1. Mr. Aasim M. Husain & Chakriya Bowman, 2004. "Forecasting Commodity Prices: Futures Versus Judgment," IMF Working Papers 2004/041, International Monetary Fund.
    2. Zhou, Haijiang & Roberts, Matthew C. & Zulauf, Carl R., 2004. "Are Interest Rates Necessary For Temporal Cointegration? Evidence From The London Metal Exchange (Lme)," 2004 Annual meeting, August 1-4, Denver, CO 20095, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Triantafyllopoulos, Kostas, 2006. "Multivariate discount weighted regression and local level models," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3702-3720, August.
    4. Francisco J. Díaz-Borrego & María del Mar Miras-Rodríguez & Bernabé Escobar-Pérez, 2019. "Looking for Accurate Forecasting of Copper TC/RC Benchmark Levels," Complexity, Hindawi, vol. 2019, pages 1-16, April.
    5. Dooley, Gillian & Lenihan, Helena, 2005. "An assessment of time series methods in metal price forecasting," Resources Policy, Elsevier, vol. 30(3), pages 208-217, September.

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