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Modelling commodity prices using continuous time models

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  • K. Ben Nowman
  • Helen Wang

Abstract

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.

Suggested Citation

  • K. Ben Nowman & Helen Wang, 2001. "Modelling commodity prices using continuous time models," Applied Economics Letters, Taylor & Francis Journals, vol. 8(5), pages 341-345.
    • Handle: RePEc:taf:apeclt:v:8:y:2001:i:5:p:341-345
    DOI: 10.1080/135048501750157602
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    Cited by:

    1. Henrik Andersson, 2007. "Are commodity prices mean reverting?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(10), pages 769-783.
    2. Vigne, Samuel A. & Lucey, Brian M. & O’Connor, Fergal A. & Yarovaya, Larisa, 2017. "The financial economics of white precious metals — A survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 292-308.
    3. Clinton Watkins & Michael McAleer, 2004. "Econometric modelling of non‐ferrous metal prices," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 651-701, December.

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