TEMPORAL ANALYSIS OF COMMODITY COPPER PRICES´S USING THE BOX &JENKINS MODEL / ANÁLISE TEMPORAL DOS PREÇOS DA COMMODITY COBRE USANDO O MODELO BOX &JENKINS
AUTOR(ES)
BRUNO DE PAULA BALTAR
DATA DE PUBLICAÇÃO
2009
RESUMO
This paper studies the behavior of copper prices following the Box &Jenkins model. The dissertation aims to test the validity of this model in explaining the behavior of this commodity. Copper presents one of the most liquid contract among commodities which may increase the information within its price dynamics. This paper is structured as follows: the first section presents a brief historic evolution of copper prices; the second presents relevant previous papers on this matter; the third presents a deep description of the model used and; the fourth, the conclusion. The data set comprises 19 years of daily prices, between 1990 and 2008. Tests for normality, estacionarity and auto-correlation had been carried through, identifying the best models to be used. The paper concludes that past copper price returns partially explain the series future behavior. However, short term forecasting based only on this variable posts just modest performance.
ASSUNTO(S)
time series cobre copper series temporais
ACESSO AO ARTIGO
Documentos Relacionados
- UM ALGORITIMO RECURSIVO PARA A ESTIMACAO DA FACE E DA FCCE NA IDENTIFICAÇÃO DOS MODELOS BOX &JENKINS E TIAO &BOX
- UM MÉTODO AUTOMÁTICO PARA PREVISÃO DE SÉRIES TEMPORIAS USANDO A METODOLOGIA BOX &JENKNIS
- Análise do comportamento de preços da commodity cobre : uma abordagem sob a ótica da teoria dos fractais
- MODELAGEM E PREVISÃO POR MEIO DE METODOLOGIA BOX&JENKINS: UMA FERRAMENTA DE GESTÃO
- THE EFFECT OF COMMODITY PRICES ON THE REAL EXCHANGE RATE FOR COMMODITY EXPORTERS: AN EMPIRICAL ANALYSIS