Modeling the Relationship between Crude Oil and Agricultural Commodity Prices

Mean and Variance Dynamics between Agricultural Commodity Prices and Crude Oil Prices

Cross-correlations between crude oil and agricultural commodity markets

In this paper, we investigate cross-correlations between crude oil and agricultural commodity markets. Based on a popular statistical test proposed by Podobnik et al. (2009), we find that the linear return cross-correlations are significant at larger lag lengths and the volatility cross-correlations are highly significant at all of the lag lengths under consideration. Using a detrended cross-co...

The Relationship Between Crude Oil and Natural Gas Prices

This paper examines the time series econometric relationship between the Henry Hub natural gas price and the West Texas Intermediate (WTI) crude oil price. Typically, this relationship has been approached using simple correlations and deterministic trends. When data have unit roots as in this case, such analysis is faulty and subject to spurious results. We find a cointegrating relationship rel...

Forecasting commodity prices by classification methods: The cases of crude oil and natural gas spot prices

In this article, we forecast crude oil and natural gas spot prices at a daily frequency based on two classification techniques: artificial neural networks (ANN) and support vector machines (SVM). As a benchmark, we utilize an autoregressive integrated moving average (ARIMA) specification. We evaluate outof-sample forecast based on encompassing tests and mean-squared prediction error (MSPE). We ...

The Changing Relationship Between Commodity Prices and Equity Prices in Commodity Exporting Countries

The paper explores the linkage between equity and commodity markets, focusing in particular on its evolution over time. It documents that a country’s equity market value has significant out-of-sample predictive ability for the future global commodity price index for several primary commodity-exporting countries. The out-of-sample predictive ability of the equity market appears around 2000s. The...