Journal
JOURNAL OF FUTURES MARKETS
Volume 38, Issue 2, Pages 219-242Publisher
WILEY
DOI: 10.1002/fut.21866
Keywords
-
Categories
Funding
- Center for Research in Econometric Analysis of Time Series, Aarhus, Denmark
- Canada Research Chairs
- Social Sciences and Humanities Research Council of Canada
Ask authors/readers for more resources
We model and forecast commodity spot and futures prices using fractionally cointegrated vector autoregressive (FCVAR) models generalizing the well-known (non-fractional) CVAR model to accommodate fractional integration. In our empirical analysis to daily data on 17 commodity markets, the fractional model is statistically superior in terms of in-sample fit and out-of-sample forecasting. We analyze economic significance of the forecasts through dynamic (mean-variance) trading strategies, leading to statistically significant and economically meaningful profits in most markets. We generally find that the fractional model generates higher profits on average, especially in the futures markets.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available