modeling and forecasting commodity time series?

[Luna Moon]

Hi all,

Could anybody please shed some lights on me about good books/literature
about modeling and forecasting financial time series in the commodity space?


Thanks so much!

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[Luwingo]

Hi Luna- I have worked in commodity risk management and can point you to a couple of good books. Try Energy and Power Risk Management by Eydeland and Wolyniec as a start. Dr. Eydeland is a director of commodity risk at Morgan Stanley (or was, at last check) and Krzystof Wolyniec runs his own commodity hedge fund out in Stamford.

It is worth pointing out that modelling and forecasting commodity time series is not easy. This is due to issues of seasonality, liquidity, and scarcity of data. I'm currently developing a tool (based on a legacy tool that one of my former co-workers developed in Excel) that will model and extend commodity price curves. Send me a message if you want to test it sometime.

Luna Moon wrote:

Hi all,

Could anybody please shed some lights on me about good books/literature
about modeling and forecasting financial time series in the commodity space?


Thanks so much!

        [[alternative HTML version deleted]]

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[David Lüthi]

Hi Luna

Some work has been done by Eduardo Schwartz and his collaborators in the
1990s. The package 'schwartz97' deals with the 2-factor (spot price and
spot convenience-yield) model. This package is available under the
Rmetrics project on R-forge as a fairly stable beta.

david

Luna Moon wrote:

> Hi all,
>
> Could anybody please shed some lights on me about good books/literature
> about modeling and forecasting financial time series in the commodity space?
>
>
> Thanks so much!
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>

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