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Author : Na Jin
Publisher :
ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (781 download)
Download or read book Three Essays on Commodity Futures and Options Markets written by Na Jin and published by . This book was released on 2011 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Commodity Futures Markets written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jian Yang
Publisher :
ISBN 13 :
Total Pages : 260 pages
Book Rating : 4.:/5 (451 download)
Download or read book Issues on Asset Storability and Commodity Futures Markets written by Jian Yang and published by . This book was released on 1999 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lawrence Francis Pohlman
Publisher :
ISBN 13 :
Total Pages : 328 pages
Book Rating : 4.:/5 (57 download)
Download or read book Three Essays on Futures written by Lawrence Francis Pohlman and published by . This book was released on 1987 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marin Boz̆ić
Publisher :
ISBN 13 :
Total Pages : 169 pages
Book Rating : 4.:/5 (781 download)
Download or read book Three Essays in Commodity Futures and Options Price Performance written by Marin Boz̆ić and published by . This book was released on 2011 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Steffen Volkenand
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (124 download)
Download or read book Three Essays on Market Microstructure and Price Formation in Agricultural Commodity Futures written by Steffen Volkenand and published by . This book was released on 2020* with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pavel Teterin
Publisher :
ISBN 13 :
Total Pages : 162 pages
Book Rating : 4.:/5 (18 download)
Download or read book Three Essays on Volatility and Information Content of Futures Markets written by Pavel Teterin and published by . This book was released on 2018 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes three essays on volatility and information content of futures markets. This work gives new insight into the structural changes in volatility, the information content of global interest rate futures, and the time-series behavior of the volatility term structure. The first essay examines structural volatility shifts U.S. crude oil and corn futures markets. In trying to capture the interrelations present in the two markets, we take seriously the importance of properly modelling smooth structural shifts. We incorporate trigonometric functions into a multivariate GARCH model of crude and corn futures prices to obtain the empirical volatility response functions and the time-varying correlation coefficient. Although both short-term and long-term futures exhibit shifts in the mean and volatility, volatility shifts do not manifest themselves in the same manner for different maturities. In the second essay, we investigate the term structure of interest rate futures in the US, Eurozone, United Kingdom, and Switzerland and empirically document five unique results. First, implied USD futures rates contain significantly different information compared to USD spot rates. Second, the four interest rate futures contracts contain similar information that is driven by one common component. Third, implied futures rates contain more information regarding future rate changes than return premiums. Fourth, information shifts are associated with macroeconomic conditions and central bank policies. Finally, significant information shifts occurred during the 2013-2015 time frame, which were greater than those of the great recessionary period of 2008-2009. The third essay focuses on the Samuelson hypothesis, a proposition that futures volatility declines with maturity. We study the strength of the Samuelson effect over time in ten most actively traded U.S. commodity futures. Capturing the dynamics of the futures volatility term structure with three factors, we show that in most markets the slope factor is strongly negative in certain periods and only weakly or not at all negative in other periods. Consistent with the linkage between carry arbitrage and the Samuelson hypothesis, we find that high inventory levels correspond to a flatter volatility term structure. We also find that a flatter volatility term structure corresponds to lower absolute futures term premiums.
Author : Shi Wei
Publisher :
ISBN 13 : 9780549126591
Total Pages : 114 pages
Book Rating : 4.1/5 (265 download)
Download or read book Three Essays on Commodity Risk Management written by Shi Wei and published by . This book was released on 2007 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three papers on risk management with empirical applications for commodity markets. The first two papers analyze selective hedging, where risk managers have views on future market conditions and sometimes hedge selectively based on these views. I develop two Bayesian optimal hedging models based on the Bayesian portfolio optimization framework. The Bayesian approach is chosen because it jointly considers subjective views and parameter estimation risk. The first paper considers only subjective views and estimation risk regarding the expectation vector of asset returns, while the second paper extends the framework to the covariance matrix of asset returns. Numerical examples in these studies show that subjective views can have a substantial impact on risk managers' hedging decisions and that the impact is most evident when the hedger speculates on market price direction and/or is pessimistic about the effectiveness of hedging, i.e., a breakdown in the correlation among different markets. Overall, the Bayesian optimal hedging models not only help explain the large cross-sectional and time-series variation in hedging positions often observed in practice, but also provide risk managers with a theoretically intuitive yet quantitatively rigorous tool to blend their views on market conditions with a "market-wide" or "firm-wide" consensus in determining optimal hedging positions. The third paper estimates the cost (i.e., risk premium) of pre-harvest forward contracting for wheat in Illinois and Kansas. Given the similarities between forward and futures markets, regression models used for testing the risk premium hypothesis in futures markets are applied to forward markets. Cost is estimated for both unconditional and conditional levels. The empirical results show that the average cost of forward contracting is higher than that of futures hedging in both states and cost varies systematically in relation to the level and volatility of forward prices.
Author : Panayotis Nicholas Varangis
Publisher :
ISBN 13 :
Total Pages : 216 pages
Book Rating : 4.:/5 (792 download)
Download or read book Three Essays on Commodity Markets written by Panayotis Nicholas Varangis and published by . This book was released on 1992 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marko Pekka Lehtimäki
Publisher :
ISBN 13 :
Total Pages : 294 pages
Book Rating : 4.:/5 (459 download)
Download or read book Three Essays on Commodity Markets Under Uncertainty written by Marko Pekka Lehtimäki and published by . This book was released on 1999 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sihong Chen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Three Essays on Commodity Markets and Health Economics written by Sihong Chen and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Haijiang Zhou
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (59 download)
Download or read book Essays on Theoretical and Empirical Studies of Commodity Futures Markets written by Haijiang Zhou and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: The three essays of this thesis research several theoretical and empirical issues of the commodity futures markets, specifically, the metals markets at the London Metal Exchange (LME) and the U.S. soybean and corn markets at the Chicago Board of Trade. Chapter two examines the cost of carry theory for five metals at the London Metal Exchange (LME). A quad-variate cointegration model is constructed and empirical results show that a long run relationship exists for cash and 3-month metals futures prices, 3-month interest rates and physical storage costs. The finding reconciles previously inconsistent findings regarding the cointegration of temporal prices in the presence of non-stationary interest rates. Chapter three updates the measurement of the supply of storage model and develops a two-equation system model which consists of the supply of storage equation and the price spread-convenience yield equation. Three stage least squares (3SLS) estimation method and bootstrapping 3SLS are applied to the CBOT soybeans data and results reveal that convenience yield and variability of new crop futures might play key roles in making storage decisions during the crop year. Chapter four develops a new measurement of the stock (inventory)-price relationship for commodity markets by constructing an equally weighted ending stocks-use ratio. A fully specified polynomial function is developed with consideration of three policy regimes due to the 1985 and 1996 US farm policy reforms. Model selection is conducted from both the fitting perspective and the forecast perspective. Results show that grain market analysts may benefit from using the proposed new measurement for forecasting prices. In summary, this study contributes to the understanding of the theoretical and empirical issues of the commodity futures markets, including the cost of carry theory, the supply of storage theory and the convenience yield theory.
Author : Timm Frederik Schmich
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (19 download)
Download or read book Three Essays on the Dynamics of Commodity Markets written by Timm Frederik Schmich and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chanaka N. Ganepola
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (19 download)
Download or read book Three Essays on Commodity Markets written by Chanaka N. Ganepola and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 115 pages
Book Rating : 4.:/5 (98 download)
Download or read book Essays on Commodity Futures Markets written by and published by . This book was released on 2015 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nan Zhao
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Essays on Commodity Futures Markets written by Nan Zhao and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert Christian Wichmann
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book Essays on Commodity Futures Markets written by Robert Christian Wichmann and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
