Thesis (Ph.D.)--University of Wollongong, 2009. / Typescript. Includes bibliographical references: leaf 172-197.

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Šiame darbe yra supažindinama su stacionarumo ir kointegracijos sąvokomis, nagrinėjami kriterijai stacionarumui ir kointegravimui patikrinti, kadangi tai sudaro pagrindą portfelių, kurie atkartoja indeksą, konstravimui. Sukonstruoti kointegruoti su indeksu portfeliai yra palyginami tarpusavyje. Darbo tikslas susipažinti su kointegracijos ryšiais finansų teorijoje, bendra portfelių konstravimo metodika, pagrįsta kointegracija, ir pritaikymu realių rinkos akcijų investicinių portfelių sudarymui. Šiam tikslui panaudojama MathCad matematinė programinė įranga, leidžianti braižyti grafikus, spręsti tiesinius, netiesinius ir kitus programavimo uždavinius, reikalingus portfelio konstravimo realizavimui. / In this study there is realized a model of constructing portfolios by using mathematical programming language MathCad. Much attention is paid to explore the portfolios which are modeled to track an index. If tracking portfolio and index are cointegrated together, portfolio can not drift too far from the index because the tracking error is mean-reverting. This study should help us to decide in what way it is better to allocate our funds when choosing portfolio for tracking the index.

This thesis examines some of the economic effects associated with the elimination of single desk marketing on Canadian feed barley exports. It focuses on the interactions between Canadian and US spot feed barley markets in transition after this policy change in Canada. A brief introduction about world and regional barley markets is provided. The role of the CWB single desk and its role in Canadian barley marketing are discussed to motivate analysis about the effects of its absence. This study postulates there should be no significant change in Canada–US regional feed barley markets, based on conclusions from previous studies. This postulate is broken down into three testable hypotheses under the framework of spatial price analysis. With respect to the Canada–US regional feed barley market as single desk marketing was eliminated in Canada; (1) There should not be a significant structural break in the feed barley prices; (2) There should not be a significant change in market integration; (3) There should not be a significant change in the direction of price transmission. To test these hypotheses, the study employs econometric tests on Canadian and US prices spot prices for substitutable feed barley. The hypotheses are tested using a structural break test, a cointegration test, a Granger causality test, and associated impulse response functions. Since structural break tests do not find significant breakpoints in the data, the first hypothesis cannot be rejected. Next, the sample is split into two subsamples at the date when single desk was eliminated. An Engle-Granger procedure and the Johansen procedure are used to test cointegrating relationships between the variables. The results do not allow us to reject the second hypothesis of no significant change in market integration. In contrast, the third hypothesis is rejected, as a significant change is uncovered using the Granger causality test. Simulated impulse responses are also consistent with this finding.

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This thesis develops a new methodological approach to test for threshold cointegration. It determines the threshold locations, the number of thresholds, and tests the null hypothesis of a unit root against the alternative of a stationary threshold process using p-values based on a residual-based block bootstrap for the nonlinear threshold autoregressive specification (TAR). Chapter 2 describes the methodological approach which combines Gonzalo and Pitarakis (2002) and Seo (2008). Chapter 3 employs Monte Carlo analysis to investigate the properties of the new approach. The results indicate that the methodology performs well and is suited for application to real world time series. Chapter 4 applies the new approach in combination with a threshold error correction model (ECM) to determine the spatial relationships among three crude oil prices: WTI, Brent, and Oman, from 2008 through 2011. The results indicate that the crude oil benchmarks are tied together by a long run relationship; however, the recent reversal in price premium between the two main crude oil benchmarks, WTI and Brent, is an anomaly that has resulted in a time period in which the series do not have a tendency to move back toward their long run relationship. Chapter 5 applies the new approach, in combination with threshold ECMs, with regime switches being triggered by the upstream markup margin to determine the vertical relationships between the crude oil, rack, and retail gasoline prices for six cities across North America. The results using both daily and weekly data between 2008 and 2011 suggest that upstream and downstream prices are cointegrated. There is evidence of band-TAR in which the crude, rack, and retail prices are free to diverge until the markup margin is squeezed or stretched beyond a lower or upper threshold. This suggests that abnormally high margins cannot be sustained indefinitely. The threshold ECMs indicate that there is no systematic relationship between the speed of adjustment and the markup margin; however, the residuals exhibit a leverage effect in which volatility and price changes are negatively correlated. Chapter 6 concludes with a summary of Chapters 2 through 5 and makes suggestions for future research. / Thesis (Ph.D, Management) -- Queen's University, 2012-06-17 22:53:24.922

This dissertation considers quantile regression models with nonstationary or nearly nonstationary time series. The first chapter outlines the thesis and discusses its theoretical and empirical contributions. The second chapter studies inference in quantile regressions with cointegrated variables allowing for multiple structural changes. The unknown break dates and regression coefficients are estimated jointly and consistently. The conditional quantile estimator has a nonstandard limit distribution. A fully modified estimator is proposed to remove the second-order bias and nuisance parameters and the resulting limit distribution is mixed normal. A simulation study shows that the fully modified quantile estimator has good finite sample properties. The model is applied to stock index data from the emerging markets of China and several mature markets. Financial market integration is found in some quantiles of the Chinese stock indices. The third chapter considers predictive quantile regression with a nearly integrated regressor. We derive nonstandard distributions for the quantile regression estimator and t-statistic in terms of functionals of diffusion processes. The critical values are found to depend on both the quantile of interest and the local-to-unity parameter, which is not consistently estimable. Based on these critical values, we propose a valid Bonferroni bounds test for quantile predictability with persistent regressors. We employ this new methodology to test the ability of many commonly employed and highly persistent regressors, such as the dividend yield, earnings price ratio, and T-bill rate, to predict the median, shoulders, and tails of the stock return distribution. Chapter Four proposes a cumulated sum (CUSUM) test for the null hypothesis of quantile cointegration. A fully modified quantile estimator is adopted for serial correlation and endogeneity corrections. The CUSUM statistic is composed of the partial sums of the residuals from the fully modified quantile regression. Under the null, the test statistic converges to a functional of Brownian motions. In the application to U.S. interest rates of different maturities, evidence in favor of the expectations hypothesis for the term structure is found in the central part of the distributions of the Treasury bill rate and financial commercial paper rate, but in the tails of the constant maturity rate distribution. / Thesis (Ph.D, Economics) -- Queen's University, 2012-07-30 15:20:38.253

A cointegration analysis on a triangle of high frequency exchange rates is presented. Market efficiency requires the triangle to be cointegrated and the cointegration term to be a martingale difference sequence. We find empirical evidence against market efficiency for very short time horizons: The cointegration term does not behave like a martingale difference sequence. In an out-of-sample forecasting study the cointegrated vector autoregressive (VAR) model is found to be superior to the naive martingale. Finally, a simple trading strategy shows that the VAR also has a significant forecast value in economic terms even after accounting for transaction costs. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Traditional demonstration of price fluctuation in the wheat market, by the theory of supply and demand is not comprehensive enough. With limited understanding of macroeconomic effects on the wheat market, accurate prediction of wheat price is impossible. Given the Chinese self—sustainable food policy, grain imports is a sensitive topic which may incur fierce argument. In this paper, however, I emphasize effect of exchange rate on nominal wheat price. By application of the cointegration theory, CPI shows slight negative correlation with nominal wheat price, yet GDP and population move in the same direction as the wheat price. The cointegration study of exchange rate implies, with appreciating Chinese RMB, domestic buyers incline to purchase wheat from the cheaper foreign market. According to the Granger causality test, the whole package of variables suggests significant causal relation with the wheat price.

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