Modeling and estimating commodity prices: copper prices

DOI10.1007/s11579-014-0140-2zbMath1321.91114OpenAlexW2033605532MaRDI QIDQ496575

Ignacio Rios, Roger J.-B. Wets

Publication date: 22 September 2015

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-014-0140-2

zbMATH Keywords

commodity pricesscenario treeepi-splinesbest fitshort and long term

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Fusion of hard and soft information in nonparametric density estimation ⋮ On univariate function identification problems ⋮ Optimizing a mineral value chain with market uncertainty using Benders decomposition ⋮ Modeling uncertainty of expert elicitation for use in risk-based optimization

Cites Work

• Unnamed Item
• Theory of storage and the pricing of commodity claims
• Commodity storage with durable shocks: a simple Markovian model
• Can Exchange Rates Forecast Commodity Prices?^*
• A DIFFUSION MODEL FOR ELECTRICITY PRICES

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