Three essays on commodity markets

Bannigidadmath, Deepa 2016, Three essays on commodity markets, PhD thesis, Department of Finance, Deakin University.

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Title Three essays on commodity markets
Author Bannigidadmath, Deepa
Institution Deakin University
School Department of Finance
Faculty Faculty of Business and Law
Degree type Research doctorate
Degree name PhD
Thesis advisor Paresh, NarayanORCID iD for Paresh, Narayan orcid.org/0000-0001-7934-8146
Thuraisamy, KannanORCID iD for Thuraisamy, Kannan orcid.org/0000-0001-5164-5456
Sharma, Susan (Sunila)ORCID iD for Sharma, Susan (Sunila) orcid.org/0000-0002-7297-1557
Date submitted 2016-10
Keyword(s) pessimism risk factor
time-varying correlations
commodity futures market variables
finance sector
econometrics
Summary This dissertation consists of three essays on the dynamics of commodity futures market. While the first essay explains commodity futures returns using a unique economic news dataset, the second essay shows the economic importance of time-varying correlations between spot and futures prices. Finally, the third essay documents the ability of commodity market variables to predict economic policy uncertainty.
Language eng
Field of Research 140207 Financial Economics
150202 Financial Econometrics
Socio Economic Objective 910103 Economic Growth
Description of original iv, 175 pages : tables, graphs
Restricted until 2019-02-14
Copyright notice ┬ęThe author. All Rights Reserved.
Free to Read Start Date 2019-02-14
Persistent URL http://hdl.handle.net/10536/DRO/DU:30102810

Document type: Thesis
Collection: Higher degree theses (citation only)
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Created: Thu, 28 Sep 2017, 11:35:37 EST by Asif, Yasmin

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