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ESSAYS ON COMMODITY FUTURES AND VOLATILITY
by
Georgi D. Vassilev
A Dissertation Presented to the
FACULTY OF THE USC GRADUATE SCHOOL
UNIVERSITY OF SOUTHERN CALIFORNIA
In partial Fulfillment of the
Requirements for the Degree
DOCTOR OF PHILOSOPHY
(ECONOMICS)
August 2010
Copyright 2010 Georgi D. Vassilev
Object Description
| Title | Essays on commodity futures and volatility |
| Author | Vassilev, Georgi D. |
| Author email | gvassile@usc.edu; vassilevg@yahoo.com |
| Degree | Doctor of Philosophy |
| Document type | Dissertation |
| Degree program | Economics |
| School | College of Letters, Arts and Sciences |
| Date defended/completed | 2010-06-02 |
| Date submitted | 2010 |
| Restricted until | Unrestricted |
| Date published | 2010-06-17 |
| Advisor (committee chair) | Kamrany, Nake |
| Advisor (committee member) |
Zapatero, Fernando Dekle, Robert |
| Abstract | This dissertation and the essays herein represent an effort to extend our understanding of the time-series and distributional properties of commodity futures on one hand, and to provide new evidence on the effects of volatility on demand for futures on the other. The behavior of commodity futures volatility is studied via parametric and non-parametric tests. It is found that commodity futures volatility exhibits long-memory properties. Autoregressive conditionally heteroskedastic models appear to capture satisfactorily the volatility dynamics of commodity futures in general. From four competing autoregressive models through in-sample tests it is found that the FIAPARCH model with Student’s t-errors better accounts for nonlinearities in commodity prices even after accounting for seasonality in volatility. However, out-of-sample tests reveal that simpler models such as GARCH perform equally well at least for short forecast horizons.; While the effect of trade demand for futures by different groups of market participants on futures volatility has been frequently explored, the impact of volatility on demand for futures in general, and by hedgers in particular, has not be thoroughly studied. It is established that such an effect indeed exists through Granger and quantile causality tests. It is also found that regardless of the position held by hedgers, increased volatility is associated with decrease in demand for futures, a rather interesting and unaccounted for phenomenon. |
| Keyword | GARCH; commodity futures |
| Language | English |
| Part of collection | University of Southern California dissertations and theses |
| Publisher (of the original version) | University of Southern California |
| Place of publication (of the original version) | Los Angeles, California |
| Publisher (of the digital version) | University of Southern California. Libraries |
| Provenance | Electronically uploaded by the author |
| Type | texts |
| Legacy record ID | usctheses-m3140 |
| Rights | Vassilev, Georgi D. |
| Repository name | Libraries, University of Southern California |
| Repository address | Los Angeles, California |
| Repository email | http://www.usc.edu/isd/libraries/services/ask_a_librarian/email/ |
| Filename | etd-Vassilev-3838 |
| Archival file | uscthesesreloadpub_Volume51/etd-Vassilev-3838.pdf |
Description
| Title | Page 1 |
| Full text | ESSAYS ON COMMODITY FUTURES AND VOLATILITY by Georgi D. Vassilev A Dissertation Presented to the FACULTY OF THE USC GRADUATE SCHOOL UNIVERSITY OF SOUTHERN CALIFORNIA In partial Fulfillment of the Requirements for the Degree DOCTOR OF PHILOSOPHY (ECONOMICS) August 2010 Copyright 2010 Georgi D. Vassilev |
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