Nowman, K. Ben and Wang, Helen (2001) Modelling commodity prices using continuous time models. Applied Economics Letters, 8 (5). pp. 341-345. ISSN 1350-4851Full text not available from this repository.
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.
|Additional Information:||Online ISSN 1466-4291|
|Subjects:||University of Westminster > Westminster Business School|
|Depositing User:||Users 4 not found.|
|Date Deposited:||21 Sep 2005|
|Last Modified:||13 Oct 2009 15:05|
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