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- W2987127116 abstract "We analyse the dynamics of real prices for main non-ferrous industrial metals: aluminium, copper, nickel and zinc. The estimates based on monthly data from 1980 to 2019 show that the prices are mean reverting and the pace of mean reversion is regime dependent. The results of the out-of-sample forecasting competition provide ample evidence that mean-reverting models deliver significantly better forecasts than the naive random walk. However, allowing for non-linearity by introducing threshold structure does not lead to further improvement in the quality of forecasts." @default.
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- W2987127116 date "2020-03-01" @default.
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- W2987127116 title "Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective" @default.
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- W2987127116 doi "https://doi.org/10.1016/j.resourpol.2019.101538" @default.
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