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:

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:

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:

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:

Download or read book Essays on the Chinese Commodity Futures Markets written by Dong Wang and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Commodity Futures Markets written by Lin Gao and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Die vorliegende Dissertation umfasst vier Aufsätze, die die Rohstoffterminmärkte untersuchen. Die Schwerpunkte der Studien liegen in den folgenden Bereichen: Volatilitätsmuster und Forecasting, Interdependenz von Rohstofftermin- und Aktienmärkten, Einfluss von Sentiment auf die Rendite von Rohstoff Futures, sowie Diversifikationseffekte in Portfolios. Sie zielen darauf ab, die sich ständig ändernde Rolle von Rohstoff Futures als alternative Anlageklasse aus der Perspektive der Assetallokation und der Marktinterdependenz zu erläutern. Der erste Aufsatz beschäftigt sich mit dem Diversifikationseffekt von Rohstoff Futures in Bezug auf ein Aktienportfolio. Im Rahmen der zunehmenden Marktintegration stellt sich die Frage, ob Rohstoff Futures ihre Rolle als Diversifikationsanlage wirklich erfüllen, insbesondere zu Zeiten von Marktcrashs und Ansteckungseffekten. Der zweite Aufsatz setzt sich mit den möglichen Ansteckungskanälen zwischen Rohstoff Futures und Aktien auseinander. Er untersucht, ob Investorensentiment, repräsentiert durch Proxies vom Aktienmarkt, die Rendite von Rohstoff Futures beeinflussen kann und ob der Comovement-Effekt seit der Finanzialisierung stärker geworden ist. Der dritte Aufsatz versucht, die Volatilität von Edelmetallen über einen langen Zeitraum mit einer Vielzahl von Markrodaten mittels der GARCH-MIDAS Methode vorherzusagen. Der vierte Aufsatz untersucht das Diversifikationspotential von industriellen Metallen in der Assetallokation.

Download or read book Essays on Futures Markets and Options written by Rachid Laraqui and published by . This book was released on 1985 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.

Download or read book Essays Concerning the Impact of Measurement Costs Upon Commodity Futures Markets written by Michael Anthony Bowe and published by . This book was released on 1988 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

Download or read book Essays on Futures Markets written by Jin Kun Kim and published by . This book was released on 1995 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.

Download or read book Efficiency in Commodity Futures Markets written by International Monetary Fund and published by International Monetary Fund. This book was released on 1989-12-29 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.

Download or read book Essays on Risk Management for Agricultural Commodity Futures Market written by Ying Wang and published by . This book was released on 2016 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: Funding risk, which caused the $1.3 billion derivatives-related loss at MG Refining & Marketing, Inc. in 1993, has long been overlooked in the risk management literature. The key to understanding funding risk is that, as futures hedging practice requires substantial infusions of cash to meet variation margin calls, the maximum margin required may occur well before the expiration of the futures contract, but must be met in order to maintain the futures positions. This paper approaches the question of how to properly measure the "funding risk" of commodity futures positions by estimating a CD-Vine copula model for the dependence of corn, soybean and wheat futures at multiple forecast intervals, using Harrison’s method and the Extreme Value Theory to calibrate the distribution of the maximum. This is the first attempt in the literature to model the extreme prices of futures contracts over a given time period in an agricultural commodity portfolio context. The adoption of the recently-developed CD-Vine copula model allows one to model the dependence structure in a more flexible manner than the previous standard multivariate models based on Gaussian or Student’s t distributions.

Download or read book How Commodity Futures Markets Work written by Basil S. Yamey and published by . This book was released on 1985 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Complete Guide to Investing in Commodity Trading and Futures written by Mary B. Holihan and published by Atlantic Publishing Company. This book was released on 2008 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many people have become very rich in the commodity markets. It is one of a few investment areas where an individual with limited capital can make extraordinary profits in a relatively short period of time. Commodities are agreements to buy and sell virtually anything that is harvested except onions. (A 1958 federal law prohibits trading onions.) Such goods are raw or partly refined materials whose value mainly reflects the costs of finding or gathering them. They are traded for processing or incorporation into final goods. Examples are crude oil, cotton, rubber, grains, and metals and other minerals. Since it is impractical to transport these bulky, often perishable materials, what is actually traded are commodities futures contracts, or options, that are agreements to buy or sell at an agreed upon price on a specific date. Trading in futures and options is speculative in nature and there is a substantial risk of loss. These investments are not suitable for everyone, and only risk capital should be used. As with many other business segments, the Internet and technology have opened up this attractive marketplace to a new breed of individual investors and speculators working part-time. You and I can now stand on an even playing field with the largest banks, wealthiest individuals, and trading institutions from the comfort of home. Commodity trading can provide you with very high, secure rate of return, in some cases as high as 12%, 18%, 24%, or even 300% or more per year. If performed correctly, commodity trading will far outpace all other investments. The key is to know how to perform this process correctly. This all sounds great, but what is the catch? There really is none, except you must know what you are doing! This book will provide everything you need to know to get you started generating high investment returns from start to finish. In this easy to read and comprehensive book you will learn what commodity trading and futures are, how to set up your account online, how to choose software to use in trading, how to invest in commodities, evaluate their performance, and handle fees and taxes. This book explores numbers of investing strategies and tactics, charting techniques, and position trading. You will pick up the language of a trader so that you recognize terminology and know how to use leverage, call options, put options, advancing and declining issues, advancing and declining volume, the Commodity Channel Index (CCI), and commodity charts, among others. Like the pros who have been trading commodities for years, you will learn how to pinpoint entry, exits, and targets for your trades, and use insider secrets to help you double or even triple your investment all while avoiding the common traps and pitfalls. Aside from learning the basics of commodity and futures trading you will be privy to their secrets and proven successful ideas. Instruction is great, but advice from experts is even better, and the experts chronicled in this book are earning millions. If you are interested in learning essentially everything there is to know about commodity and futures investing in addition to hundreds of tactics, tricks, and tips on how to earn enormous profits in commodity trading while controlling your investments, then this book is for you. Atlantic Publishing is a small, independent publishing company based in Ocala, Florida. Founded over twenty years ago in the company presidentâe(tm)s garage, Atlantic Publishing has grown to become a renowned resource for non-fiction books. Today, over 450 titles are in print covering subjects such as small business, healthy living, management, finance, careers, and real estate. Atlantic Publishing prides itself on producing award winning, high-quality manuals that give readers up-to-date, pertinent information, real-world examples, and case studies with expert advice. Every book has resources, contact information, and web sites of the products or companies discussed.