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Forecasting and the Price of Risk in...

University of California, San Diego.

Forecasting and the Price of Risk in Commodity and Bond Markets.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Forecasting and the Price of Risk in Commodity and Bond Markets./
作者:	Zhecheva, Irina Yurieva.
面頁冊數:	1 online resource (149 pages)
附註:	Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
標題:	Economics. -
電子資源:	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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100 1 $a Zhecheva, Irina Yurieva. $3 1189349
245 1 0 $a Forecasting and the Price of Risk in Commodity and Bond Markets.
264 0 $c 2017
300 $a 1 online resource (149 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
500 $a Adviser: James D. Hamilton.
502 $a Thesis (Ph.D.)--University of California, San Diego, 2017.
504 $a Includes bibliographical references
520 $a 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 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Economics. $3 555568
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0501
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of California, San Diego. $b Economics. $3 1179071
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10286164 $z click for full text (PQDT)

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