Title of thesis: COMPARING REGIME-SWITCHING MODELS IN TIME SERIES: LOGISTIC MIXTURES: vs. MARKOV SWITCHING Dimitrios V. Paliouras Master of Science, 2007 Thesis directed by: Professor Benjamin Kedem Department of Mathematics The purpose of this thesis is to review several related regime-switching time series models. Specifically, we use simulated data to compare models where the unobserved stat...

A model with costly adjustment of production and costly inventories implies that wholesale gasoline prices will respond with a lag to crude oil cost shocks. Unlike explanations that rely upon menu costs, imperfect information, or long-term buyer/seller relationships, this model also predicts that futures prices for gasoline will adjust incompletely to crude oil price shocks that occur close to ...

Volatility spillover effect in international financial markets is one of the principal issues that widely attract academic and industrial scholars’ attention. Through constructing a binary GARCH-BEKK model, this study empirically tests the volatility effects among stock market, gold market, WTI crude oil futures market and spot market, and concludes that there is bidirectional volatility spillo...

Palm oil is the most consumed and traded vegetable oils in the EU and the world. Increasing non-food uses for vegetable oils in especially feedstock of biofuels in recent years have caused the price volatility to rise in both EU and global market. The most efficient pricing of crude palm oil (CPO) is to found on Bursa Malaysia (BMD), and it provides by far the world’s most liquid palm oil contr...

Copyright © 2015 Jung-Fa Tsai et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. This special issue continues to raise the aim of The Scientific World Journal in the operations research subject area through its cutting-edge pr...

Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing commodity derivatives. The model features unspanned stochastic volatility, quasi-analytical prices of options on futures contracts, and dynamics of the futures curve in terms of a low-dimensional affine state vector. We estimate ...

This paper examines the effect of the maturity of the futures contact used as the hedging instrument on the effectiveness of futures hedging. For this purpose, daily and monthly data on the WTI crude oil futures and spot prices are used to work out the hedge ratios and the measures of hedging effectiveness resulting from using the near-month contract and those resulting from the use of a more d...

If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their positions. We show that this interaction can produce an affine factor structure to commodity futures prices,...