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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Autores principales:	Carlos Alberto Orge Pinheiro, Valter de Senna
Formato:	article
Lenguaje:	EN PT
Publicado:	FUCAPE Business School 2016
Materias:	keywords spectrum analysis forecast commodities Business HF5001-6182
Acceso en línea:	https://doaj.org/article/adfcccfc806f4befb84488d5c65597e0
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spelling	oai:doaj.org-article:adfcccfc806f4befb84488d5c65597e02021-11-11T15:48:06ZPrice Forecasting Through Multivariate Spectral Analysis: Evidence for Commodities of BM&Fbovespa1807-734Xhttps://doaj.org/article/adfcccfc806f4befb84488d5c65597e02016-01-01T00:00:00Zhttp://www.redalyc.org/articulo.oa?id=123047026006https://doaj.org/toc/1807-734XABSTRACT 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.Carlos Alberto Orge PinheiroValter de SennaFUCAPE Business Schoolarticlekeywordsspectrum analysisforecastcommoditiesBusinessHF5001-6182ENPTBBR: Brazilian Business Review, Vol 13, Iss 5, Pp 129-157 (2016)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	keywords spectrum analysis forecast commodities Business HF5001-6182
spellingShingle	keywords spectrum analysis forecast commodities Business HF5001-6182 Carlos Alberto Orge Pinheiro Valter de Senna Price Forecasting Through Multivariate Spectral Analysis: Evidence for Commodities of BM&Fbovespa
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
author	Carlos Alberto Orge Pinheiro Valter de Senna
author_facet	Carlos Alberto Orge Pinheiro Valter de Senna
author_sort	Carlos Alberto Orge Pinheiro
title	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_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_sort	price forecasting through multivariate spectral analysis: evidence for commodities of bm&fbovespa
publisher	FUCAPE Business School
publishDate	2016
url	https://doaj.org/article/adfcccfc806f4befb84488d5c65597e0
work_keys_str_mv	AT carlosalbertoorgepinheiro priceforecastingthroughmultivariatespectralanalysisevidenceforcommoditiesofbmfbovespa AT valterdesenna priceforecastingthroughmultivariatespectralanalysisevidenceforcommoditiesofbmfbovespa
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Price Forecasting Through Multivariate Spectral Analysis: Evidence for Commodities of BM&Fbovespa

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