Browse by Subject "Volatility"
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(2014-01-16)This dissertation consists of three papers that investigate different dimensions of commodity price variability which has increased dramatically in recent years. The first paper analyzes recent volatility spillovers ...
(2014-09-16)Significant changes have taken place in grain futures markets. This dissertation consists of three essays investigating issues in the price volatility and liquidity cost in grain futures markets influenced by these changes. ...
(2012-05-22)The first essay, Funding Liquidity and Its Risk Premiums, presents a new approach to measure funding liquidity and demonstrates that the estimated funding liquidity can predict future stock market returns. The key idea is ...