2014
DOI: 10.1016/j.ijforecast.2013.09.003
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Forecasting commodity price indexes using macroeconomic and financial predictors

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Cited by 153 publications
(96 citation statements)
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“…On the one hand, Chen, Rossi and Rogo¤ (2011) …nd more evidence of their previous …ndings in the speci…c case of agricultural commodity prices. Similarly, Gargano and Timmermann (2014) also show results supporting the CCH using the Australian dollar and the Indian rupee. Less enthusiastic is the paper by Groen and Pesenti (2011) with results that only mildly corroborate those of CRR when investigating the ability of commodity currencies to forecast ten alternative commodity indices.…”
Section: Introductionsupporting
confidence: 55%
“…On the one hand, Chen, Rossi and Rogo¤ (2011) …nd more evidence of their previous …ndings in the speci…c case of agricultural commodity prices. Similarly, Gargano and Timmermann (2014) also show results supporting the CCH using the Australian dollar and the Indian rupee. Less enthusiastic is the paper by Groen and Pesenti (2011) with results that only mildly corroborate those of CRR when investigating the ability of commodity currencies to forecast ten alternative commodity indices.…”
Section: Introductionsupporting
confidence: 55%
“…Its price is irreversibly influenced by other economic variables and exogenous variables including weather and price changes. This kind of change is definitely not a fluctuation around the mean value [31][32][33]. Therefore, it's a reasonable hypothesis.…”
Section: Hypothesis Of Price Fluctuationmentioning
confidence: 90%
“…In the case of particular commodities prices' predictors this research follows Gargano and Timmermann [6]. They selected various macroeconomic and financial predictors, which can be common for different commodities.…”
Section: Commodities Prices Predictorsmentioning
confidence: 99%
“…Once again, it is stressed that the aim was not to focus on some similar set of commodities, but to consider a possibly wide set of commodities and apply a unified methodology to them and see if this methodology leads to some improvement in forecasting. For certain conventional methods, such an approach was reported by Gargano and Timmermann [6].…”
Section: Commodities Prices Predictorsmentioning
confidence: 99%
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