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Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons

Listed author(s):
  • Issler, João Victor
  • Rodrigues, Claudia
  • Burjack, Rafael

The objective of this article is to study (understand and forecast) spot metal price levels and changes at monthly, quarterly, and annual frequencies. Data consists of metal-commodity prices at a monthly and quarterly frequencies from 1957 to 2012, extracted from the IFS, and annual data, provided from 1900 to 2010 by the U.S. Geological Survey (USGS). We also employ the (relatively large) list of co-variates used in Welch and Goyal (2008) and in Hong and Yogo (2009).

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File URL: http://www.sciencedirect.com/science/article/pii/S0261560613001198
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 42 (2014)
Issue (Month): C ()
Pages: 310-335

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Handle: RePEc:eee:jimfin:v:42:y:2014:i:c:p:310-335
DOI: 10.1016/j.jimonfin.2013.08.017
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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