The objective of this thesis was to investigate the effectiveness of kriging as a predictor of future prices for copper, lead and zinc on the London Metal Exchange. The annual average metal prices from 1884 to 1986 were deflated into constant price series with reference to a base of 1984 prices. Analysis of the data showed that the requirement of stationarity was satisfied if the price series were divided into three distinct time periods viz. 1884 to 1917; 1918 to 1953; 1954 to 1986. For copper each of the three time periods were studied in detail, but for lead and zinc only the most recent period was included in this thesis. Spherical models gave a good fit to the experimental semi-variograms computed for each metal-time period and were used to predict future prices by ordinary kriging. Universal Kriging was applied to the most recent time period for each metal by fitting a polynomial curve to the price-time series, computing experimental semi-variograms from the residuals and then fitting spherical models which were used to predict future prices. Within the most recent price-time series, a further subdivision was made by taking that portion of the period from the highest price to 1986. Experimental semi-variograms from the residuals from fitted polynomial curves showed pure nugget effect and consequently extrapolation of the polynomial was used as the price predictor. The kriged and extrapolated future price estimates were compared to future prices estimated by a simple random walk using residual sums of squared differences. For four of the five time series analyzed, ordinary kriging produced the best future price estimates. For copper from 1918 to 1953 , the simple random walk was marginally better than ordinary kriging. This was probably due to the low price variability in this period resulting from the Great Depression and government price controls associated with the Second World War and the Korean War. Specific forecasts for 1985 and 1986 were most accurate for copper and lead by universal kriging and most accurate for zinc by ordinary kriging. The results are encouraging and future investigations should include: applying other kriging methods : analyzing daily and monthly prices : comparing results with more sophisticated time series analysis techniques. / Applied Science, Faculty of / Mining Engineering, Keevil Institute of / Graduate

Graduation date: 1988

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Housing Management / Master / Master of Housing Management

Dramatic changes in U.S. coal prices during the 1970's and 1980's have brought into question the ability of currently available forecasting models to predict non-renewable resource prices. This thesis compares two types of forecasting models used to predict non-renewable resource prices. Each model is assessed based upon theoretical and practical considerations. The models evaluated are a conventional time series model and an optimization model. The thesis finds each model to have inherent advantages and disadvantages within the areas of comparison. The conventional time series model is assessed as relatively simple to develop and easy to use for rough approximations of future prices, but lacking in its reflection of the current body of economic theory on non-renewable resources. The optimization model is evaluated as more thoroughly embracing some of the advances made in the theory, but requiring an extensive commitment of resources for its development. / Master of Arts

published_or_final_version / Business Administration / Master / Master of Business Administration

The Market Timing - Buy and Hold (MT-BH) is introduced, tested against widely accepted performance models of market timing and tested if implamentation is possible. The MT-BH metric measures the condition of engaging in market timing strategies relative to buy and hold investing across an equity market. The metric provides an alternative explanation to why market timing results of investors and managers vary through time and across different equity markets. This dissertation examines how the is correlated with traditional market timing measures of the Treynor and Sharpe ratios over the 1995-2010 time period and how it affects widely used measures of regression based market timing models of Treynor- Mazuy and Henriksson-Merton. The Market Timing - Buy and Hold (MT-BH) metric can be applied to any equity market over any time period to condition the market timing skill of money managers in any equity market around the world. The final accomplishment of this dissertation is to determine if readily available finance and macro-economic variables can help investors determine which years are more favorable to pursue market timing strategies and which years favor buy and hold investing. When real GDP growth rates, inflation rates and PE ratios were low or negative and when dividend yields were high, market timing strategies were favorable across 44 country market indexes from 1994-2008. These results were robust to country level of development, negative market return years and other control variables. The conditions for pursing market timing strategies were time variant and detectable with macro-economic and finance variables. The MT-BH metric allows investors and brokers to determine when to switch from buy and hold investing to a market timing strategy using macro-economic and financial variables and helps to explain why market timing skill of managers is rarely found to be persistent. / by William Fount Johnson, III. / Thesis (Ph.D.)--Florida Atlantic University, 2011. / Includes bibliography. / Electronic reproduction. Boca Raton, Fla., 2011. Mode of access: World Wide Web.

E’ stato estesamente appurato che i mercati dell'elettricità mostrano mean-reversion e elevata volatilità dei prezzi. Questo lavoro utilizza un modello VAR-MGARCH al fine di cogliere queste caratteristiche presenti sul mercato dell'energia elettrica italiana (IPEX) e analizzare le interrelazioni esistenti tra le diverse regioni in cui il mercato è suddiviso. L’analisi è condotta sui prezzi giornalieri dal 1 ° gennaio 2006 al 31 dicembre 2008. I coefficienti stimati dalle equazioni condizionali indicano che i mercati regionali sono abbastanza integrati e i prezzi regionali dell'energia elettrica possono essere adeguatamente previsti impiegando i prezzi passati di ciascun mercato zonale. La volatilità e la cross-volatility sono significative per tutti i mercati, indicando la presenza di forti componenti ARCH e GARCH e la sostanziale inefficienza dei mercati. E’ inoltre evidente un’elevata persistenza della volatilità e della cross-volatility in tutti i mercati. I risultati indicano inoltre che gli shock rilevati, sia nella volatilità, sia nei vari mercati, persistono nel tempo e che in ogni mercato la persistenza è più marcata quando è causata da innovazioni stimate sulle stesso mercato rispetto a shock stimati su altre aree. Questa persistenza descrive la tendenza delle variazioni dei prezzi a raggrupparsi nel tempo. / It is commonly known that spot electricity markets show mean-reversion and high price volatility. This work employs a VAR-MGARCH model to capture these features in the Italian electricity market (IPEX) and analyze the interrelation existing among the different regions in which the market is divided. Daily spot prices from 1 January 2006 to 31 December 2008 are employed. The estimated coefficients from the conditional mean equations indicate that the regional markets are quite integrated and regional electricity prices could be usefully forecasted using lagged prices from either the same market or from the other areal markets. Volatility and cross-volatility spill-overs are significant for all markets, indicating the presence of strong ARCH and GARCH effects and market inefficiency. Strong persistence of volatility and cross-volatility are also evident in all local markets. The results also indicate that volatility innovations or shocks in all markets persist over time and that in every market this persistence is more marked for own-innovations or shocks than cross-innovations or shocks. This persistence captures the propensity of price changes of similar magnitude to cluster in time.