Essays in commodities and freight markets

Essays in commodities and freight markets

Chapter 1: Structural Changes in Functional Curves: Estimation and Testing Abstract: This paper considers the estimation and testing of structural changes in functional curves that occurs at an unknown date. The functional principal component analysis is applied to the random functional curves, deco...

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Bibliographic Details
Main Author: YAP, Nelson
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
Structural breaks
Functional principal component analysis
OPEC and the energy market
Freight options
Implied volatility
Fundamental analysis
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/etd_coll/167
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1167&context=etd_coll
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Institution: Singapore Management University
Language: English
Description
Summary:Chapter 1: Structural Changes in Functional Curves: Estimation and Testing Abstract: This paper considers the estimation and testing of structural changes in functional curves that occurs at an unknown date. The functional principal component analysis is applied to the random functional curves, decomposing them into interpretable simple latent functions and random scalars. We model the random scalars using a simple autoregressive model and test for a change in parameters that occur at an unknown date. This method is applied to the crude oil futures market to estimate and date possible structural breaks during OPEC announcement periods from 1984 to 2017.

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