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P1:ABC/ABC P2:c/d QC:e/f T1:g FM JWBK314-Scheffer August9,2008 14:22 PrinterName: YettoCome Commodity Modeling and Pricing Methods for Analyzing Resource Market Behavior PETER V. SCHAEFFER John Wiley & Sons, Inc. iii P1:ABC/ABC P2:c/d QC:e/f T1:g FM JWBK314-Scheffer August9,2008 14:22 PrinterName: YettoCome vi P1:ABC/ABC P2:c/d QC:e/f T1:g FM JWBK314-Scheffer August9,2008 14:22 PrinterName: YettoCome Commodity Modeling and Pricing i P1:ABC/ABC P2:c/d QC:e/f T1:g FM JWBK314-Scheffer August9,2008 14:22 PrinterName: YettoCome Founded in 1807, John Wiley & Sons is the oldest independent publishing com- pany in the United States. With offices in North America, Europe, Australia and Asia,Wileyisgloballycommittedtodevelopingandmarketingprintandelectronic products and services for our customers’ professional and personal knowledge and understanding. The Wiley Finance series contains books written specifically for finance and investment professionals as well as sophisticated individual investors and their fi- nancialadvisors.Booktopicsrangefromportfoliomanagementtoe-commerce,risk management, financial engineering, valuation and financial instrument analysis, as wellasmuchmore. Foralistofavailabletitles,pleasevisitourWebsiteatwww.WileyFinance.com. ii P1:ABC/ABC P2:c/d QC:e/f T1:g FM JWBK314-Scheffer August9,2008 14:22 PrinterName: YettoCome Commodity Modeling and Pricing Methods for Analyzing Resource Market Behavior PETER V. SCHAEFFER John Wiley & Sons, Inc. iii P1:ABC/ABC P2:c/d QC:e/f T1:g FM JWBK314-Scheffer August9,2008 14:22 PrinterName: YettoCome Copyright(cid:1)C 2008byPeterV.Schaeffer.Allrightsreserved. PublishedbyJohnWiley&Sons,Inc.,Hoboken,NewJersey. PublishedsimultaneouslyinCanada. Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmittedin anyformorbyanymeans,electronic,mechanical,photocopying,recording,scanning,or otherwise,exceptaspermittedunderSection107or108ofthe1976UnitedStatesCopyright Act,withouteitherthepriorwrittenpermissionofthePublisher,orauthorizationthrough paymentoftheappropriateper-copyfeetotheCopyrightClearanceCenter,Inc.,222 RosewoodDrive,Danvers,MA01923,(978)750-8400,fax(978)750-4470,orontheweb atwww.copyright.com.RequeststothePublisherforpermissionshouldbeaddressedtothe PermissionsDepartment,JohnWiley&Sons,Inc.,111RiverStreet,Hoboken,NJ07030, (201)748-6011,fax(201)748-6008,oronlineathttp://www.wiley.com/go/permissions. LimitofLiability/DisclaimerofWarranty:Whilethepublisherandauthorhaveusedtheir besteffortsinpreparingthisbook,theymakenorepresentationsorwarrantieswithrespect totheaccuracyorcompletenessofthecontentsofthisbookandspecificallydisclaimany impliedwarrantiesofmerchantabilityorfitnessforaparticularpurpose.Nowarrantymay becreatedorextendedbysalesrepresentativesorwrittensalesmaterials.Theadviceand strategiescontainedhereinmaynotbesuitableforyoursituation.Youshouldconsultwitha professionalwhereappropriate.Neitherthepublishernorauthorshallbeliableforanyloss ofprofitoranyothercommercialdamages,includingbutnotlimitedtospecial,incidental, consequential,orotherdamages. Forgeneralinformationonourotherproductsandservicesorfortechnicalsupport,please contactourCustomerCareDepartmentwithintheUnitedStatesat(800)762-2974,outside theUnitedStatesat(317)572-3993orfax(317)572-4002. Wileyalsopublishesitsbooksinavarietyofelectronicformats.Somecontentthatappears inprintmaynotbeavailableinelectronicbooks.FormoreinformationaboutWiley products,visitourwebsiteatwww.wiley.com. LibraryofCongressCataloging-in-PublicationData: Schaeffer,PeterV. Commoditymodelingandpricing:methodsforanalyzingresourcemarketbehavior/ PeterV.Schaeffer. p.cm.–(Wileyfinanceseries) Includesindex. ISBN978-0-470-31723-5(cloth) 1.Commodityexchanges–Mathematicalmodels. 2.Primarycommodities–Prices. 3.Prices–Mathematicalmodels. I.Title. HG6046.S3532008 332.64(cid:2)4–dc22 2008022839 PrintedintheUnitedStatesofAmerica 10 9 8 7 6 5 4 3 2 1 iv P1:ABC/ABC P2:c/d QC:e/f T1:g FM JWBK314-Scheffer August9,2008 14:22 PrinterName: YettoCome In Memoriam Daniel J. Gijsbers and Thomas F. Torries v P1:ABC/ABC P2:c/d QC:e/f T1:g FM JWBK314-Scheffer August9,2008 14:22 PrinterName: YettoCome vi P1:ABC/ABC P2:c/d QC:e/f T1:g FM JWBK314-Scheffer August9,2008 14:22 PrinterName: YettoCome Contents Preface ix Acknowledgments xi PARTONE DynamicsofCommodityPriceBehavior 1 CHAPTER1 IndirectInferenceandLongMemory:ANewTruncated-Series EstimationMethod—ArmandSadler,Jean-BaptisteLesourd,and VeˆlayoudomMarimoutou 3 CHAPTER2 ProcyclicalityofPrimaryCommodityPrices:AStylizedFact?— A.BehroozAfrasiabi 30 CHAPTER3 NonlinearFeaturesofComovementsbetweenCommodityPrices andInflation—CatherineKyrtsou 52 CHAPTER4 TheOilPriceandtheDollarReconsidered—SadekMelhemand MichelTerraza 65 PARTTWO InventoryDynamicsandPriceBehavior 77 CHAPTER5 Time-VaryingRatiosofPrimaryandScrapMetalPrices:Importance ofInventories—IreneM.Xiarchos 79 CHAPTER6 MetalPricesandtheSupplyofStorage—PaulCromptonand IreneM.Xiarchos 103 vii

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Commodity Modeling and Pricing provides extensions and applications of state-of-the-art methods for analyzing resource commodity behavior. Drawing from the seminal work of Professor Walter Labys on the development of econometric methods for forecasting commodity prices, this collection of essays fea
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Commodity Modeling and Pricing provides extensions and applications of state-of-the-art methods for analyzing resource commodity behavior. Drawing from the seminal work of Professor Walter Labys on the development of econometric methods for forecasting commodity prices, this collection of essays fea

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