Price Forecasting Through Multivariate Spectral Analysis: Evidence for Commodities of BM&Fbovespa
ABSTRACT This study aimed to forecast the prices of a group of commodities through the multivariate spectral analysis model and compare them with those obtained by classical forecasting and neural network models. The choice of commodities such as ethanol, cattle, corn, coffee and soy was due to the...
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| Format: | Article |
| Language: | English |
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FUCAPE Business School
2016-01-01
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| Series: | BBR: Brazilian Business Review |
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| Online Access: | http://www.redalyc.org/articulo.oa?id=123047026006 |
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| author | Carlos Alberto Orge Pinheiro Valter de Senna |
| author_facet | Carlos Alberto Orge Pinheiro Valter de Senna |
| author_sort | Carlos Alberto Orge Pinheiro |
| collection | DOAJ |
| description | ABSTRACT This study aimed to forecast the prices of a group of commodities through the multivariate spectral analysis model and compare them with those obtained by classical forecasting and neural network models. The choice of commodities such as ethanol, cattle, corn, coffee and soy was due to the emphasis in the exports in 2013. The multivariate spectral model has proved to be suitable, when compared with others, by enabling a better predictive performance. The results obtained in the out-of-sample period, through the use of measurement error and statistical test, confirm this. This research may help market professionals in formulating and implementing policies targeted to the agricultural sector due to the relevance of price forecast as a planning instrument and analysis of the finance market behavior for those who need protection against price fluctuations. |
| format | Article |
| id | doaj-art-adfcccfc806f4befb84488d5c65597e0 |
| institution | Kabale University |
| issn | 1807-734X |
| language | English |
| publishDate | 2016-01-01 |
| publisher | FUCAPE Business School |
| record_format | Article |
| series | BBR: Brazilian Business Review |
| spelling | doaj-art-adfcccfc806f4befb84488d5c65597e02025-02-06T23:39:31ZengFUCAPE Business SchoolBBR: Brazilian Business Review1807-734X2016-01-01135129157Price Forecasting Through Multivariate Spectral Analysis: Evidence for Commodities of BM&FbovespaCarlos Alberto Orge PinheiroValter de SennaABSTRACT This study aimed to forecast the prices of a group of commodities through the multivariate spectral analysis model and compare them with those obtained by classical forecasting and neural network models. The choice of commodities such as ethanol, cattle, corn, coffee and soy was due to the emphasis in the exports in 2013. The multivariate spectral model has proved to be suitable, when compared with others, by enabling a better predictive performance. The results obtained in the out-of-sample period, through the use of measurement error and statistical test, confirm this. This research may help market professionals in formulating and implementing policies targeted to the agricultural sector due to the relevance of price forecast as a planning instrument and analysis of the finance market behavior for those who need protection against price fluctuations.http://www.redalyc.org/articulo.oa?id=123047026006keywordsspectrum analysisforecastcommodities |
| spellingShingle | Carlos Alberto Orge Pinheiro Valter de Senna Price Forecasting Through Multivariate Spectral Analysis: Evidence for Commodities of BM&Fbovespa BBR: Brazilian Business Review keywords spectrum analysis forecast commodities |
| title | Price Forecasting Through Multivariate Spectral Analysis: Evidence for Commodities of BM&Fbovespa |
| title_full | Price Forecasting Through Multivariate Spectral Analysis: Evidence for Commodities of BM&Fbovespa |
| title_fullStr | Price Forecasting Through Multivariate Spectral Analysis: Evidence for Commodities of BM&Fbovespa |
| title_full_unstemmed | Price Forecasting Through Multivariate Spectral Analysis: Evidence for Commodities of BM&Fbovespa |
| title_short | Price Forecasting Through Multivariate Spectral Analysis: Evidence for Commodities of BM&Fbovespa |
| title_sort | price forecasting through multivariate spectral analysis evidence for commodities of bm fbovespa |
| topic | keywords spectrum analysis forecast commodities |
| url | http://www.redalyc.org/articulo.oa?id=123047026006 |
| work_keys_str_mv | AT carlosalbertoorgepinheiro priceforecastingthroughmultivariatespectralanalysisevidenceforcommoditiesofbmfbovespa AT valterdesenna priceforecastingthroughmultivariatespectralanalysisevidenceforcommoditiesofbmfbovespa |