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Modelling commodity prices using continuous time models

Nowman, K. Ben and Wang, Helen (2001) Modelling commodity prices using continuous time models. Applied Economics Letters, 8 (5). pp. 341-345. ISSN 1350-4851

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Official URL: http://dx.doi.org/10.1080/135048501750157602

Abstract

Nine continuous time models applied to metal prices are applied, following a recent study of these models on Eurocurrency interest rate data by Nowman (1998). In particular models for copper, gold, nickel, silver and tin are estimated and it is found that the volatility of prices is highly dependent on the level of prices for these metals and is larger than usually assumed in these models.

Item Type:Article
Additional Information:Online ISSN 1466-4291
Research Community:University of Westminster > Westminster Business School
ID Code:748
Deposited On:21 Sep 2005
Last Modified:13 Oct 2009 16:05

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