Prognoses for a Non-Predictable Discounted Commodity Price Process
We consider the behavior of the price of a continuously stored commodity, for which discounted price is a non-constant martingale, and thus not-predictable. We prove that the discounted price realization is within any given neighborhood of zero, with any given probability less than 1, beyond a finite state-independent horizon. Furthermore, with probability 1, the path of discounted price realizations will lie permanently within any given neighborhood of zero beyond a finite state-dependent horizon. The martingale property implies that for a sufficiently long series of initial dates, the average of returns over a given horizon approximates the opportunity cost of capital arbitrarily exactly. But the average of returns for the same initial dates, over a sufficiently extended horizon, reflects the eventual and permanent downward divergence of price realizations from any profile of conditional expectations.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||11 Aug 2004|
|Date of revision:|
|Contact details of provider:|| Phone: 1 212 998 3820|
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ecm:latm04:19. 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: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.