Thesis (Ph. D.)--University of Missouri-Columbia, 1999. / Typescript. Vita. Includes bibliographical references (leaves 142-145). Also available on the Internet.

Thesis (Ph. D.)--University of Chicago, Dept. of Economics. / Includes bibliographical references. Also available on the Internet.

The paper describes an attempt to gain insight into the relationship between cash and futures markets for US lean hogs and EU live pigs, and the opportunity of arbitrage hedging. In doing so, the authors use newer methods of threshold cointegration analysis for time series from 1999 until 2008. Besides the existence of a long-run equilibrium, asymmetric price adjustments can be demonstrated. This is especially the case for the EU live pigs, where price variations of the basis are higher and exhibit lower standard deviation. The results also perfectly show that cash prices follow the futures market more than the other way round. Furthermore, a grid search has revealed that the residual-based threshold in either market is near zero and therefore coherent with economic interpretation. Thus, at least theoretically, arbitrageurs in those markets are able to exploit the price differences between the two markets and reap no-risk monetary benefit. Hence, the results are in line with the statement that "speculating the basis" generates a better return. (authors' abstract)

The concepts of risk transfer and price discovery are well developed roles for futures markets. The interaction between traders in futures markets in the transferring and acceptance of price risk contributes to the discovery of price. Interaction of traders in the risk transfer and price discovery processes is examined in this dissertation. Data employed were for live cattle futures at the Chicago Mercantile Exchange developed from the confidential daily records of reporting trader positions maintained by the Commodity Futures Trading Commission. The analysis was for the period February 1983 through September 1987. The nearby futures contract price, volume, and open interest series supplement the daily trader position data base. / Ph. D.

Thesis (M.B.A.)--University of Hong Kong, 1994. / Includes bibliographical references (leaves 107-109).

Ho Kin Fai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 71-73). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Background --- p.1 / Chapter 1.2 --- Motivation --- p.3 / Chapter 1.3 --- Chapter Layout --- p.5 / Chapter 1.4 --- Summary --- p.7 / Chapter 2 --- Literature Review --- p.11 / Chapter 2.1 --- Implied Asset Return Distribution --- p.13 / Chapter 2.2 --- The Jarrow-Rudd Skewness and Kurtosis-Adjusted Model --- p.16 / Chapter 2.3 --- Implied Moments in Asset Return Distribution --- p.24 / Chapter 2.4 --- Summary --- p.26 / Chapter 3 --- Methodology --- p.28 / Chapter 3.1 --- Application to the Nikkei Index Options --- p.28 / Chapter 3.2 --- In-Sample Parameters Estimation --- p.31 / Chapter 3.3 --- Out-Sample Prediction Error Evaluation --- p.34 / Chapter 3.4 --- Time-Series Movements of Higher Moments --- p.35 / Chapter 3.5 --- Summary --- p.37 / Chapter 4 --- Empirical Results --- p.38 / Chapter 4.1 --- In-Sample Parameters Estimation --- p.38 / Chapter 4.2 --- The Out-Sample Prediction Error Evaluation --- p.43 / Chapter 4.3 --- Time Series Movements of Higher Moments --- p.45 / Chapter 4.4 --- Implications --- p.55 / Chapter 4.5 --- Summary --- p.57 / Chapter 5 --- Conclusions --- p.59 / Chapter A --- Additional Figures --- p.62

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Business Administration / Master / Master of Business Administration

This study addressed two issues. First, it examined the ability of two models, developed by Cox, Ingersoll and Ross (CIR), to explain the differences between futures and implicit forward prices in the thirteen-week T-bill market. The models imply that if future interest rates are stochastic, futures and forward prices differ; the structural difference is due to the daily settlement process required in futures trading. Second, the study determined the efficiency of the thirteen-week T-bill futures market using volatility and regression tests. Volatility tests use variance bounds to examine whether futures prices are excessively volatile for the market to be efficient. Regression tests investigate whether futures prices are unbiased predictors of future spot prices. The study was limited to analysis of the first three futures contracts, using weekly price data as reported in the Wall Street Journal from March, 1976 to December, 1984. Testing of the first CIR model involved determination of whether changes in futures-forward price differences are related to changes in local covariances between T-bill futures and bond prices. The same procedure applied in testing the second model with respect to changes in futures-forward price differences, local covariances between T-bill spot and bond prices, and local variances of bond prices. Volatility tests of market efficiency involved comparison of mean variances on both sides of two inequality equations. Regression tests involved determination of whether slope coefficients are significantly different from zero.

This thesis investigates the relationship between daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate (WTI) crude oil. The data cover period January 1987-April 2015. Based on economic theory, the futures prices should be closely related to the spot price, which - in the case of crude oil market - this thesis analyses using wavelet-based approach. Main contributions of this thesis are findings in the field of time-frequency relationship of spot-futures prices of crude oil, where an alternative methodology - wavelet transformation - is used. The usage of this advanced method is also an additional contribution of this thesis because it allows us to rigorously study how co-movement (relationship) differs across frequencies/scales and time. In this thesis wavelet Coherence, wavelet bivariate correlation and relatively new method wavelet band spectral regression (WBLS) are used. This thesis brings 4 main findings. First, relationship between Futures and spot prices of crude oil is strong in all time-periods (frequencies/scales), which supports economic theory. Second and In contrary to the first finding, in the gasoline spot-futures market, we find that the relationship is strong mainly in higher scales (lower frequencies) while in lower scales (higher...