Econometric Modelling of Non-Ferrous Metal Prices

52 Pages Posted: 12 Nov 2004

See all articles by Clinton Watkins

Clinton Watkins

Graduate School of Economics, Kobe University

Michael McAleer

Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute; Tinbergen Institute; University of Tokyo - Centre for International Research on the Japanese Economy (CIRJE), Faculty of Economics

Abstract

This article evaluates the significance of the empirical models and the distributional properties of prices in non-ferrous metal spots and futures markets published in leading refereed economics and finance journals between 1980 and 2002. The survey focuses on econometric analyses of pricing and return models applied to exchange-based spot and futures markets for the main industrially used non-ferrous metals, namely aluminium, copper, lead, nickel, tin and zinc. Published empirical research is evaluated in the light of the type of contract examined, frequency of data used, choice of both dependent and explanatory variables, use of proxy variables, type of model chosen, economic hypotheses tested, methods of estimation and calculation of SEs for inference, reported descriptive statistics, use of diagnostic tests of auxiliary assumptions, use of nested and non-nested tests, use of information criteria and empirical implications for non-ferrous metals.

Keywords: Non-ferrous industrially used metals, Futures markets, Commodity prices, Commodity returns, Empirical models, Econometric critique

Suggested Citation

Watkins, Clinton and McAleer, Michael, Econometric Modelling of Non-Ferrous Metal Prices. Available at SSRN: https://ssrn.com/abstract=618317

Clinton Watkins (Contact Author)

Graduate School of Economics, Kobe University ( email )

2-1, Rokkodai
Nada-Ku
Kobe, Hyogo, 657-8501
Japan

HOME PAGE: http://www.econ.kobe-u.ac.jp/en/people/course/academicstaff/watkins.html

Michael McAleer

Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute ( email )

Rotterdam
Netherlands

Tinbergen Institute

Rotterdam
Netherlands

University of Tokyo - Centre for International Research on the Japanese Economy (CIRJE), Faculty of Economics

Tokyo
Japan

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