Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 16 of 16 for “"oil futures"”.
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Two Essays on Oil Futures Markets
… contributions of two major exchanges on crude oil futures to the price discovery process-- Chicago Mercantile Exchange (CME) and Intercontinental Exchange (ICE), using trade-by-trade data in 2008. The study also empirically analyzes the effects of trading characteristics on the information …
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The efficiency of the oil futures markets: information, price discovery and long memory
… thesis investigates the efficiency of the crude oil futures markets by addressing four important issues using different theoretical and methodological perspectives. Data of different frequencies was employed in the analysis covering the period 2000 to 2011. First, the short and long term …
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Three Essays on: Hedging in China's Oil futures market; Gold, Oil and Stock Market Price Volatility links in the USA; and, Currency Fluctuations in S.E. and Pacific Asia
… Essay 1 examines the effectiveness of China fuel oil futures in hedging a domestic spot fuel oil position as well as hedging a spot position in the Singapore fuel oil market. To the best of our knowledge, this is the first study of this kind. Dynamic Bi-variate GARCH and constant volatility models …
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Essays On Oil Price Volatility And Irreversible Investment
… for the volatility of daily spot</p> <p>crude oil prices. Empirical research over the past decades has uncovered</p> <p>significant gains in forecasting performance of Markov Switching GARCH</p> <p>models over GARCH models for the volatility of financial assets and crude</p> <p>oil futures. We …
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Option pricing and machine learning: a comparison of black-scholes, bachelier, and artificial neural networks
… in 1973. The recent coronavirus pandemic and the oil futures price crash of April 2020 have caused major markets to briefly switch to the less widely-known Bachelier model to price derivatives, as the model allows for negative strikes on the underlying. This study evaluates the predictive ability …
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Three essays on financial markets
… copula models. Since there is no corresponding futures contract available, airlines may have to cross hedge jet fuel with either crude oil or other refined products. Because the dependence between jet fuel and its hedging instrument is time-varying, airlines' cross hedging problem needs a …
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Forecasting Oil Price Volatility
… of forecasting price volatility in the crude oil futures market using daily data for the period November 1986 through March 1997. It compares the forward-looking implied volatility measure with two backward-looking time-series measures based on past returns - a simple historical volatility …
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An Application of Artificial Neural Networks in Forecasting Future Oil Price Return Volatilities
… functions the future volatilities of crude oil future prices. In parts three and four, the ANNs are to simulate the inverse functions of option and compound options pricing models. Considering the recent importance of commodities in the world economy, it is very important to have a precise …
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An Econometric Analysis of the TOCOM Energy Futures: Volatility, Trading Activity & Market Microstructure
… one of the main commodity exchanges for energy futures. However, majority of studies on energy futures focus on NYMEX and ICE prices and there seems to be no systematic studies on TOCOM energy futures. Hence, we consider investigating the dynamics and the behaviour of TOCOM energy futures and …
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Just Greening the Gulf: Sustaining Justice for Migrant Workers
… workers building eco-cities are erased in post-oil futures. This projects focus on an oil-rich monarchy contributes to the growing literature on environmental justice in the global South and focus on capabilities adds to theoretical debates on the justice in environmental justice.
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An examination of commodity derivative markets: efficiency, volatility and diversification benefits
… markets and have a particular focus on commodity futures markets. The first paper examines market efficiency in metal, agricultural, financial and energy futures markets across different maturities. In the long-run, we found all markets to be efficient. And in the short-run, inefficiencies are …
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Essays on commodity investing and volatility risk
… investing and volatility risk in commodity futures markets. The first essay evaluates the usefulness of commodities in a portfolio by examining multiple commodity instrument tools and by controlling for estimation error. Using data from three generations of commodity indices and 15 …
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Forecasting diesel fuel prices
… developing and evaluating the effectiveness of futures-based, structural-based, and time-series models to forecast diesel prices. Several composite forecast techniques, such as averaging, least squared regressions, and Harvey, Leybourne, and Newbold encompassing procedures also are evaluated to …
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Information transmission in energy futures markets
Since the mid 1980s the world oil price discovery process has been dominated by two crude oil futures markets: the New York Mercantile Exchange (NYMEX) and London's International Petroleum Exchange (IPE). To date considerable work has been done to scrutinize the degree to which these two markets …