Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

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Modelling the dynamics of commodity markets and forecasting their prices with time series models

2017/25/B/HS4/00156

Keywords:

commodity markets time-series models forecasting

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • HS4_6: Financial markets, international finance, public finance
  • HS4_1: Macroeconomics (incl. economic balance, economic growth, business cycles in global economy, labour economics)

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Szkoła Główna Handlowa w Warszawie, Kolegium Analiz Ekonomicznych

woj. mazowieckie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Michał Rubaszek 

Number of co-investigators in the project: 4

Call: OPUS 13 - announced on 2017-03-15

Amount awarded: 349 200 PLN

Project start date (Y-m-d): 2018-01-10

Project end date (Y-m-d): 2022-01-09

Project duration:: 48 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. Komputer przenośny klasy stacji roboczej (16 000 PLN)

Information in the final report

  • Publication in academic press/journals (7)
  • Articles in post-conference publications (1)
  1. The role of underground storage in the dynamics of the US natural gas market: A threshold model analysis
    Authors:
    Michał Rubaszek, Gazi Salah Uddin
    Academic press:
    Energy Economics (rok: 2020, tom: 87, strony: Article 104713, s.1-9), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2020.104713 - link to the publication
  2. Common factors and the dynamics of cereal prices. A forecasting perspective
    Authors:
    Alessia Paccagnini, Marek Kwas, Michał Rubaszek
    Academic press:
    Journal of Commodity Markets (rok: 2022, tom: In Press, strony: 100240), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jcomm.2021.100240 - link to the publication
  3. The role of the threshold effect for the dynamics of futures and spot prices of energy commodities
    Authors:
    Michał Rubaszek, Zuzanna Karolak, Marek Kwas and Gazi Salah Uddin
    Academic press:
    Studies in Nonlinear Dynamics & Econometrics (rok: 2020, tom: 24, strony: Article 2019-0068, s. 1-20), Wydawca: De Greuter
    Status:
    Published
    DOI:
    10.1515/snde-2019-0068 - link to the publication
  4. Common factors and the dynamics of industrial metal prices. A forecasting perspective
    Authors:
    Marek Kwas, Alessia Paccagnini, Michał Rubaszek
    Academic press:
    Resources Policy (rok: 2021, tom: 74, strony: 102319), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.resourpol.2021.102319 - link to the publication
  5. Forecasting Commodity Prices: Looking for a Benchmark
    Authors:
    Marek Kwas; Michał Rubaszek
    Academic press:
    Forecasting (rok: 2021, tom: 3, strony: 447-459), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/forecast3020027 - link to the publication
  6. Forecasting crude oil prices with DSGE models
    Authors:
    Michał Rubaszek
    Academic press:
    International Journal of Forecasting (rok: 2021, tom: 37, strony: 531-546), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ijforecast.2020.07.004 - link to the publication
  7. Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective
    Authors:
    Michal Rubaszek, Zuzanna Karolak, Marek Kwas
    Academic press:
    Resources Policy (rok: 2020, tom: 65, strony: Article 101538, s. 1-8), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.resourpol.2019.101538 - link to the publication
  1. A note on the accuracy of commodity prices forecasts based on futures contracts
    Authors:
    Marek Kwas i Michał Rubaszek
    Conference:
    The 13th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena (rok: 2019, ), Wydawca: C.H. Beck
    Data:
    konferencja 13-16 maja 2019
    Status:
    Published

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