Simon Cudjoe

Commodity Price Prediction with TAR and Markov-Switching Models. Evidence from Gold and Cocoa Markets

Simon Cudjoe, Peter K. Nyarko & Benjamin Odoi · Asian Journal of Economics, Business and Accounting · 2025

Accurate forecasting of commodity prices remains a crucial challenge due to inherent market volatility and regime-dependent behaviour. This study examines the predictive performance of two nonlinear time series models, the Threshold Autoregressive (TAR) model and the Markov Switc...