Do Commodity Futures Help Forecast Spot Prices?

Do Commodity Futures Help Forecast Spot Prices?
We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting... READ MORE...

Publication date: November 2011
ISBN 9781463923891
$18.00

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