Commodity Price Dynamics: A Structural Approach
Autor Craig Pirrongen Limba Engleză Paperback – 5 mar 2014
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Specificații
ISBN-13: 9781107616332
ISBN-10: 1107616336
Pagini: 240
Ilustrații: 62 b/w illus. 8 tables
Dimensiuni: 152 x 229 x 14 mm
Greutate: 0.36 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:New York, United States
ISBN-10: 1107616336
Pagini: 240
Ilustrații: 62 b/w illus. 8 tables
Dimensiuni: 152 x 229 x 14 mm
Greutate: 0.36 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:New York, United States
Cuprins
Preface; 1. Introduction; 2. Storables modeling basics; 3. Continuously produced commodity price dynamics; 4. Empirical performance of the two-factor model; 5. Stochastic volatility; 6. Seasonal commodities; 7. Carbon markets; 8. Non-storable commodities.
Recenzii
'Craig Pirrong is one of the most thoughtful scholars working on commodity markets today and he combines an understanding of finance, statistics, and economics in a way that is rare. His book presents a focused and convincing message concerning the advantages of using a structural approach to modeling commodity prices. The interplay between modeling and empirical validation is excellent and provides considerable insight on how commodity prices work and why they work the way they do.' Paul Fackler, North Carolina State University
'This book provides a rigorous and much-needed analysis of the economics of commodity markets. In contrast to the histrionics reflected in today's headlines, the analysis is based on the firm foundation provided by the rational model of commodity storage. The basic model is explained in terms that are accessible to anyone with a working knowledge of basic economics, a considerable contribution in itself. Readers will especially appreciate the thorough discussion of failures of the model under various conditions and what this implies for our understanding of commodity markets. Pithy comments that are sprinkled throughout the book highlight key points. Researchers, market participants, and policy makers can all benefit handsomely by reading this book.' Scott Irwin, University of Illinois, Urbana-Champaign
'Pirrong's book is a rich and thorough treatment of dynamic models of commodity price determination, particularly metals prices.' Kenneth J. Singleton, Stanford University
'This book provides a rigorous and much-needed analysis of the economics of commodity markets. In contrast to the histrionics reflected in today's headlines, the analysis is based on the firm foundation provided by the rational model of commodity storage. The basic model is explained in terms that are accessible to anyone with a working knowledge of basic economics, a considerable contribution in itself. Readers will especially appreciate the thorough discussion of failures of the model under various conditions and what this implies for our understanding of commodity markets. Pithy comments that are sprinkled throughout the book highlight key points. Researchers, market participants, and policy makers can all benefit handsomely by reading this book.' Scott Irwin, University of Illinois, Urbana-Champaign
'Pirrong's book is a rich and thorough treatment of dynamic models of commodity price determination, particularly metals prices.' Kenneth J. Singleton, Stanford University
Notă biografică
Descriere
This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them.