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Forecasting and the Price of Risk in...
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University of California, San Diego.
Forecasting and the Price of Risk in Commodity and Bond Markets.
Record Type:
Language materials, manuscript : Monograph/item
Title/Author:
Forecasting and the Price of Risk in Commodity and Bond Markets./
Author:
Zhecheva, Irina Yurieva.
Description:
1 online resource (149 pages)
Notes:
Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
Subject:
Economics. -
Online resource:
click for full text (PQDT)
ISBN:
9780355068641
Forecasting and the Price of Risk in Commodity and Bond Markets.
Zhecheva, Irina Yurieva.
Forecasting and the Price of Risk in Commodity and Bond Markets.
- 1 online resource (149 pages)
Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
Thesis (Ph.D.)--University of California, San Diego, 2017.
Includes bibliographical references
In the first two chapters of my dissertation, I study the pricing of risk in commodities futures and bond markets. In the first chapter, I provide a new way to characterize risk in commodities futures markets. I apply my framework to the natural gas futures market and study the consequences of changes in regime on the risk premium. In the second chapter, I study risk pricing in bond yields and investigate whether regime shifts are important for our understanding of bond risk premia and the term structure. I produce novel empirical estimates to characterize risk premia and the term structure of bond yields and natural gas futures contracts. I also propose a new method for estimating Gaussian affine term structure models subject to regime switching, which solves the serious numerical difficulties encountered by other methods in the literature. The third chapter of my dissertation investigates whether forecast aggregation helps in forecasting commodity prices.
Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018
Mode of access: World Wide Web
ISBN: 9780355068641Subjects--Topical Terms:
555568
Economics.
Index Terms--Genre/Form:
554714
Electronic books.
Forecasting and the Price of Risk in Commodity and Bond Markets.
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Forecasting and the Price of Risk in Commodity and Bond Markets.
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Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
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Adviser: James D. Hamilton.
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Thesis (Ph.D.)--University of California, San Diego, 2017.
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Includes bibliographical references
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In the first two chapters of my dissertation, I study the pricing of risk in commodities futures and bond markets. In the first chapter, I provide a new way to characterize risk in commodities futures markets. I apply my framework to the natural gas futures market and study the consequences of changes in regime on the risk premium. In the second chapter, I study risk pricing in bond yields and investigate whether regime shifts are important for our understanding of bond risk premia and the term structure. I produce novel empirical estimates to characterize risk premia and the term structure of bond yields and natural gas futures contracts. I also propose a new method for estimating Gaussian affine term structure models subject to regime switching, which solves the serious numerical difficulties encountered by other methods in the literature. The third chapter of my dissertation investigates whether forecast aggregation helps in forecasting commodity prices.
533
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Electronic reproduction.
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Ann Arbor, Mich. :
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ProQuest,
$d
2018
538
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Mode of access: World Wide Web
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Economics.
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555568
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University of California, San Diego.
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http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10286164
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click for full text (PQDT)
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