{"title":"模拟铜价","authors":"Souha Boutouria, Fathi Abid","doi":"10.2139/ssrn.1831309","DOIUrl":null,"url":null,"abstract":"The purpose of this paper is to examine the empirical behavior of copper spot prices in London Metal Exchange. Based on the particularities of the copper, various continuous processes are used. We simulate one, two and three factors stochastic processes using Monte Carlo simulation technique in and out of the sample of best model fitting. Simulations show that a class of stochastic volatility model has a great capacity to forecast the current copper prices.","PeriodicalId":273058,"journal":{"name":"ERN: Model Construction & Estimation (Topic)","volume":"59 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2010-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Modeling Copper Prices\",\"authors\":\"Souha Boutouria, Fathi Abid\",\"doi\":\"10.2139/ssrn.1831309\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The purpose of this paper is to examine the empirical behavior of copper spot prices in London Metal Exchange. Based on the particularities of the copper, various continuous processes are used. We simulate one, two and three factors stochastic processes using Monte Carlo simulation technique in and out of the sample of best model fitting. Simulations show that a class of stochastic volatility model has a great capacity to forecast the current copper prices.\",\"PeriodicalId\":273058,\"journal\":{\"name\":\"ERN: Model Construction & Estimation (Topic)\",\"volume\":\"59 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2010-05-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Model Construction & Estimation (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1831309\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Model Construction & Estimation (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1831309","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The purpose of this paper is to examine the empirical behavior of copper spot prices in London Metal Exchange. Based on the particularities of the copper, various continuous processes are used. We simulate one, two and three factors stochastic processes using Monte Carlo simulation technique in and out of the sample of best model fitting. Simulations show that a class of stochastic volatility model has a great capacity to forecast the current copper prices.
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