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dc.contributor.authorPower, Gabriel
dc.date.accessioned2007-07-11T17:05:47Z
dc.date.available2012-07-11T06:08:27Z
dc.date.issued2007-07-11T17:05:47Z
dc.identifier.otherbibid: 6476354
dc.identifier.urihttps://hdl.handle.net/1813/7915
dc.description.abstractThe time horizon of decision-making is an essential dimension of economic problems but is difficult to explicitly define. In this thesis, we use time series analysis augmented by wavelet transform methods to precisely identify distinct time horizons in economic data and measure their explanatory power. This enables us to address three timely and persistent questions in the literature on commodity derivatives markets are addressed. First, are findings of long memory (fractional integration) in commodity futures price volatility spurious, following Granger?s conjecture? Yes, only two out of eleven commodities are characterized by true long memory and certain stochastic break models (e.g. Markov-switching) are found to be more plausible. Second, do large Index Traders such as commodity pools and pension funds increase futures price volatility through a large volume of trading activity? This appears to be true only for non-storable commodity contracts. Third, can we improve the accuracy of term structure models of futures prices by (i) including more state variables to better capture maturity and inventory effects, and (ii) filtering out what appears to be noise at the shortest time horizons? The results suggest that (i) three state variables is an optimal choice and (ii) estimates using filtered data are not improved and the noise may be economically meaningful.en_US
dc.format.extent1376793 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen_USen_US
dc.subjectCommoditiesen_US
dc.subjectFuturesen_US
dc.subjectLong memoryen_US
dc.subjectTerm structureen_US
dc.subjectWaveletsen_US
dc.subjectVolatilityen_US
dc.titleA Wavelet-Based Analysis of Commodity Futures Marketsen_US
dc.typedissertation or thesisen_US


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