Can oil prices help estimate commodity futures prices? The cases of copper and silver

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dc.contributor.authorCortazar, Gonzalo
dc.contributor.authorEterovic, Francisco
dc.date.accessioned2024-01-10T13:11:32Z
dc.date.available2024-01-10T13:11:32Z
dc.date.issued2010
dc.description.abstractThere is an extensive literature on modeling the stochastic process of commodity futures. It has been shown that models with several risk factors are able to adequately fit both the level and the volatility structure of observed transactions with reasonable low errors.
dc.description.abstractOne of the characteristics of commodity futures markets is the relatively short term maturity of their contracts, typically ranging for only a few years. This poses a problem for valuing long term investments that require extrapolating the observed term structure. There has been little work on how to effectively do this extrapolation and in measuring its errors. Cortazar et al. (2008b) propose a multicommodity model that jointly estimates two commodities, one with much longer maturity futures contracts than the other, showing that futures prices of one commodity may be useful information for estimating the stochastic process of another. They implement the procedure using highly correlated commodities like WTI and Brent.
dc.description.abstractIn this paper we analyze using prices of long term oil futures contracts to help estimate long term copper and silver future prices. We start by analyzing the performance of the Cortazar et al. (2008b) multicommodity model, now applied to oil-copper and oil-silver which have much lower correlation than the WTI-Brent contracts. We show that for these commodities with lower correlation the multicommodity model seems not to be effective. We then propose a modified multicommodity model with a much simpler structure which is easier to estimate and that uses the non-stationary long term process of oil to help estimate long term copper and silver futures prices, achieving a much better fit than using available individual or multicommodity models. (C) 2010 Elsevier Ltd. All rights reserved.
dc.fechaingreso.objetodigital09-04-2024
dc.format.extent9 páginas
dc.fuente.origenWOS
dc.identifier.doi10.1016/j.resourpol.2010.07.004
dc.identifier.eissn1873-7641
dc.identifier.issn0301-4207
dc.identifier.urihttps://doi.org/10.1016/j.resourpol.2010.07.004
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/78059
dc.identifier.wosidWOS:000285222400005
dc.information.autorucIngeniería;Cortazar G ;S/I;99516
dc.information.autorucIngeniería;Eterovic F ;S/I;141235
dc.issue.numero4
dc.language.isoen
dc.nota.accesoContenido parcial
dc.pagina.final291
dc.pagina.inicio283
dc.publisherELSEVIER SCI LTD
dc.revistaRESOURCES POLICY
dc.rightsacceso restringido
dc.subjectCommodity futures
dc.subjectPrice estimation
dc.subjectCopper
dc.subjectSilver
dc.subjectOil
dc.subjectSTOCHASTIC CONVENIENCE YIELD
dc.subjectMODEL
dc.subjectSPECIFICATION
dc.subjectVALUATION
dc.subjectOPTIONS
dc.subjectTESTS
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleCan oil prices help estimate commodity futures prices? The cases of copper and silver
dc.typeartículo
dc.volumen35
sipa.codpersvinculados99516
sipa.codpersvinculados141235
sipa.indexWOS
sipa.indexScopus
sipa.trazabilidadCarga SIPA;09-01-2024
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