## Abstract Commodity prices are volatile, and volatility itself varies over time. Changes in volatility can affect market variables by directly affecting the marginal value of storage, and by affecting a component of the total marginal cost of production, the opportunity cost of producing the comm
Fractional dynamics in international commodity prices
โ Scribed by Barkoulas, John; Labys, Walter C.; Onochie, Joseph
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 297 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
1 992), hereafter PMR, analyze the statistical properties of cash prices for 17 commodities. Their results are consistent with other studies which have found autocorrelation in commodity prices. For a literature review, see Tomek and Myers (1993). This author fears, however, that the introductory an
## Abstract Muth's (1961) rational expectations model of commodity markets implies that inventory carryover creates ARCH processes in prices. The model also indicates that the expected price variance is an explanatory variable in price regressions. Hypotheses were tested on price data of twenty com
Equilibrium pricing of futures contracts within the capital market -how are they related to the prices of other risky assets? This study is concerned with the second issue; specifically, whether there exists nonlinear dynamic structure and, in particular, chaotic structure in the behavior of future
## Many contingent valuation experiments use commodity prices as the payment vehicle. In this note it is shown, in general, that this approach does not allow the investigator to extract the mspondent's willingness to pay. However, it is also shown how the valuation question can be formulated so as