Modeling Copper Price: A Regime-Switching Approach
AbstractThis paper explores the virtues of Markov-Switching models to characterize the behavior of copper price. In particular, we study the performance of several univariate specifications of this type of models, both in and out of sample, comparing them also with constant parameter models such as ARMA and GARCH. The main finding is that allowing for a regime-switching variance in the error term is most relevant in explaining the behavior of this price.
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Bibliographic InfoPaper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 613.
Date of creation: Feb 2011
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-23 (All new papers)
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