Skip to main content
SpringerLink
Log in
Book cover

A Reappraisal of the Efficiency of Financial Markets pp 737–744Cite as

A State-Space Approach to Forecasting Commodity Prices

  • Conference paper

  • 130 Accesses

Part of the book series: NATO ASI Series ((NATO ASI F,volume 54))

Abstract

Commodity spot prices have traditionally been modelled by a random walk. A state-space formulation is presented and used to forecast copper spot prices. This method and another advocated by S. J. Taylor are compared and conclusions presented.

This is a preview of subscription content, log in via an institution.

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  • Cargill, T.F. and G.C. Rausser, 1975, Temporal price behaviour in commodity futures markets, Journal of Finance 30, 1043–1053.

    Article  Google Scholar 

  • Fama, E.F., 1965, The behaviour of stock market prices, Journal of Business 38, 34–105.

    Article  Google Scholar 

  • Granger, C.W.J., 1980, Forecasting in business and economics (Academic Press).

    Google Scholar 

  • Harvey, A.C., 1987, Applications of the Kalman filter in econometrics, in: Advances in econometrics - Fifth world congress (Cambridge University Press).

    Google Scholar 

  • Kingsman, B.G., 1974, Forecasting and research for supply markets, Long Range Planning 7, 24–38.

    Article  Google Scholar 

  • Labys, W.C. and C.W.J. Granger, 1970, Speculation, hedging and commodity price forecasts ( Heath Lexington, Massachusetts).

    Google Scholar 

  • Praetz, P.D., 1976, On the methodology of testing for independence in futures prices, Journal of Finance 31, 977–979.

    Article  Google Scholar 

  • Taylor, S.J., 1980, Conjectured models for trends in financial prices, tests and forecasts, Journal of the Royal Statistical Society 143A, 338–362.

    Article  Google Scholar 

  • Taylor, S.J., 1986, Modelling financial time series ( John Wiley, Chichester).

    Google Scholar 

  • Taylor, S.J. and B.G. Kingsman, 1978, Non-stationarity in sugar prices, Journal of the Operational Research Society 29, 971–980.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Centre of Urban and Regional Studies, Technical University of Lisbon, Av. Rovisco Pais, Lisbon, 1000, Portugal

    J. A. Assis Lopes

Authors
  1. J. A. Assis Lopes
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Editors and Affiliations

  1. Faculty of Engineering, University of Porto, Rua dos Bragas, 4099, Porto Codex, Portugal

    Rui M. C. Guimarães

  2. School of Management, University of Lancaster, LA1 4YX, Lancaster, UK

    Brian G. Kingsman  & Stephen J. Taylor  & 

Rights and permissions

Reprints and permissions

Copyright information

© 1989 Springer-Verlag Berlin Heidelberg

About this paper

Cite this paper

Lopes, J.A.A. (1989). A State-Space Approach to Forecasting Commodity Prices. In: Guimarães, R.M.C., Kingsman, B.G., Taylor, S.J. (eds) A Reappraisal of the Efficiency of Financial Markets. NATO ASI Series, vol 54. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-74741-0_45

Download citation

  • DOI: https://doi.org/10.1007/978-3-642-74741-0_45

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-74743-4

  • Online ISBN: 978-3-642-74741-0

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics

Search

Navigation