A New Look at Copper Markets: A Regime-Switching Jump Model
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- Roque Montero & Javier García-Cicco, 2012. "Modelo y Pronóstico del Precio del Cobre: Un Enfoque de Cambio de Regímenes," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(2), pages 099-116, August.
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- Javier García - Cicco & Roque Montero, 2011. "Modeling Copper Price: A Regime-Switching Approach," Working Papers Central Bank of Chile 613, Central Bank of Chile.
More about this item
Keywordsregime switching; Poisson jump; GARCH volatility; copper futures;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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