Author

Zhejin Hu

Date of Award

11-18-2008

Degree Type

Thesis

Degree Name

Master of Science (MS)

Department

Mathematics and Statistics

First Advisor

Dr. Yu-Sheng Hsu - Chair

Second Advisor

Dr. Yichuan Zhao

Third Advisor

Dr. Yuanhui Xiao

Abstract

This thesis presents a comparison for modeling and forecasting Chinese futures market of copper and aluminum with single time series and multivariate time series under linear restrictions. For single time series, data transformation for stationary purpose has been tested and performed before ARIMA model was built. For multivariate time series, co-integration rank test has been performed and included before VECM model was built. Based on selected models, the forecasting shows multivariate time series analysis has a better result than single time series, which indicates utilizing the relationships among the series can improve the accuracy of time series forecasting.

Included in

Mathematics Commons

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