Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314069 
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 22 [Issue:] 1 [Year:] 2019 [Pages:] 468-483
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
In this study, we attempt to predict global agricultural commodity futures prices through analysis of multivariate time series. Our motivation is based on the notion that datasets of agricultural commodity futures prices involves a mixture of long- and short-term information, linear and non-linear structure, for which traditional approaches such as Auto-Regressive Integrated Moving Average (ARIMA) and Vector Auto-Regression (VAR) may fail. To tackle this issue, Long- and Short-Term Time-series Network (LSTNet) is applied for prediction. Empirical results show that LSTNet achieves better performance over that of several state-of-the-art baseline methods on average and in most periods based on three performance evaluation measures and two tests of performance difference.
Subjects: 
Agricultural commodity futures
long- and short-term timeseries network
long-term information
prices prediction
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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