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:

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:

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:

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 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:

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:

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 Three Essays on Agricultural Commodity Market Linkages written by Shu Meng 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 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:

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 Three Essays on Agricultural Commodity Market Linkages written by Jieyuan Zhao and published by . This book was released on 2012 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays In Commodity Price Dynamics written by Amal Dabbous and published by . This book was released on 2015 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays in commodity price dynamics. In the first essay, we embed a staggered price feature into the speculative storage model of Deaton and Laroque (1996). Intermediate goods inventory speculators are added as an additional source of intertemporal linkage which helps us to replicate the stylized facts of the observed commodity price dynamics. The staggered pricing mechanism adopted in this paper can be viewed as a parsimonious way of approximating various types of frictions that increase the degree of persistence in the first two conditional moments of commodity prices. The structural parameters of our model are estimated by simulated method of moments using actual prices for four agricultural commodities. Simulated data are then employed to assess the effects of our staggered price approach on the time series properties of commodity prices. Our results lend empirical support to the possibility of staggered prices. The second essay investigates the determinants of the percentage change in commodity prices. We apply the dynamic Gordon growth model technique and conduct the variance decomposition for the percentage change in spot commodity prices to 6 agricultural commodities. The model explains the percentage change in spot commodity prices in terms of the expected present discounted values of interest rate, yield spread, open interest and convenience yield. Empirical results indicate that the model is successful in capturing a large proportion of the variability in the 6 agricultural commodity prices. Moreover, we show that yield spread and open interest help predicting changes in commodity prices. Finally, the third essay evaluates different hedging strategies for eleven commodities. In addition to the traditional regression hedge ratio model (OLS) and the vector error correction model (VECM), we estimate dynamic hedge ratios using the conventional dynamic conditional correlation model (DCC) of Engle (2002) and the diagonal BEKK model (DBEKK) of Engle and Kroner (1995). Moreover, we propose two more advanced models, the DCC model and the DBEKK model that will account for the impact of the growth rate of open interest on market’s volatility and co-movements of commodity spot and futures returns. The empirical analysis shows that adding the growth rate of open interest improves the in-sample hedging effectiveness of the DCC model. Furthermore, the out-of-sample hedging exercise empirical results show that static models present the best out-of-sample hedging performance for 5 of the commodities. The DCC model presents the smallest basis variance for 4 of the commodities. The DBEKK model with the growth rate of open interest performs the best in terms of the basis variance reduction for corn and wheat. Our out-of-sample empirical findings provide important implications for futures hedging and highlight the fact that the use of static models to determine the optimal hedge ratio could be more effective than the use of dynamic hedge ratio models.

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.

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:

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:

Download or read book Three Essays on Agricultural Commodity Markets and Barge Transportation on the Mississippi Waterways written by Shu Li and published by . This book was released on 2013 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Price of Oil written by Valentina Dedi and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: