Noisy chaotic dynamics in commodity markets

被引：5

作者：

Kyrtsou C. ^{[1
]}

Labys W.C. ^{[2
]}

Terraza M. ^{[3
]}

机构：

[1] University of Macedonia, Department of Economics, Thessaloniki 54006

[2] Regional Research Institute, West Virginia University, Morgantown

[3] LAMETA, Department of Economics, University of Montpellier I, Montpillier, Cedex 1 34054, Avenue de La Mer

来源：

Empirical Economics | 2004年 / 29卷 / 3期

关键词：

Commodity futures prices; Correlation dimention analysis; Noisy chaotic processes; Nonlinear models; Risk and price expectations; Short term price forecasting;

D O I：

10.1007/s00181-003-0180-6

中图分类号：

学科分类号：

摘要：

The nonlinear testing and modeling of economic and financial time series has increased substantially in recent years, enabling us to better understand market and price behavior, risk and the formation of expectations. Such tests have also been applied to commodity market behavior, providing evidence of heteroskedasticity, chaos, long memory, cyclicity, etc. The present evaluation of futures price behavior confirms that the resulting price movements can be random, suggesting noisy chaotic behavior. Prices could thus follow a mean process that is dynamic chaotic, coupled with a variance that follows a GARCH process. Our conclusion is that models of this type could be constructed to assist in forecasting prices in the short run but not over long run time periods. © Springer-Verlag 2004.

引用

页码：489 / 502

页数：13

共 50 条

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