- Tytuł:
-
Identyfikacja spekulacji na rynkach terminowych towarów rolnych
The identification of speculationon the terminal commodity markets - Autorzy:
- Malik, Gabriela
- Powiązania:
- https://bibliotekanauki.pl/articles/425040.pdf
- Data publikacji:
- 2013
- Wydawca:
- Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
- Tematy:
-
speculations on financial markets
soft commodity derivatives market
time series analysis
ARIMA model
one-step forecast errors - Opis:
- The purpose of this article is to identify speculative activities on the futures commodity market of the CME and to investigate the tendencies of such activities by classifying them according to whether their impact on the market is stabilizing or destabilizing. That goal was accomplished by generating one-step-forecasts for the monthly returns of the future contracts with the shortest time left to expiration, and then examining tendencies in the forecast error series. The mentioned-above predictions were obtained by means of the ARIMA model for which best parameterization was identified based upon the value of AIC. Tendencies in the prediction errors were quantified using the linear trend formula, estimated in the sub-periods. The predictions of tendencies in the error series, covering three years staring at the end of the sample, were calculated after fitted the best ARIMA model in order to catch the dynamic structure of the series under consideration.
- Źródło:
-
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2013, 4(42); 140-152
1507-3866 - Pojawia się w:
- Econometrics. Ekonometria. Advances in Applied Data Analytics
- Dostawca treści:
- Biblioteka Nauki
Artykuł