Modeling Copper Prices

14 Pages Posted: 11 May 2011 Last revised: 18 Jun 2011

See all articles by Souha Boutouria

Souha Boutouria

University of Sfax - Higher Institute of Business Administration

Fathi Abid

University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory

Date Written: May 4, 2010

Abstract

The purpose of this paper is to examine the empirical behavior of copper spot prices in London Metal Exchange. Based on the particularities of the copper, various continuous processes are used. We simulate one, two and three factors stochastic processes using Monte Carlo simulation technique in and out of the sample of best model fitting. Simulations show that a class of stochastic volatility model has a great capacity to forecast the current copper prices.

Keywords: Copper, Stochastic process, Monte Carlo Simulation

JEL Classification: G12, G17

Suggested Citation

Boutouria, Souha and Abid, Fathi, Modeling Copper Prices (May 4, 2010). Available at SSRN: https://ssrn.com/abstract=1831309 or http://dx.doi.org/10.2139/ssrn.1831309

Souha Boutouria (Contact Author)

University of Sfax - Higher Institute of Business Administration ( email )

Road of the Airport 4
Sfax, BP 1013
Tunisia

Fathi Abid

University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory ( email )

Road of Airport, Km 4
Sfax, sfax 3018
Tunisia
+216 7427 9154 (Phone)

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