Essays in commodities and freight markets

• 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
• Institution: Singapore Management University

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.