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Nonparametric Analysis of Commodity Futures Price Dynamics and Market Risk Measurements

Zhou, Feng
http://rave.ohiolink.edu/etdc/view?acc_num=osu1376578061

Abstract Details

, Doctor of Philosophy, Ohio State University, Agricultural, Environmental and Developmental Economics.
This dissertation extends the proposed nonparametric framework for estimating interest rate dynamics to the estimation of the futures price term structure using agricultural commodity data. Instead of making potentially questionable assumptions on the distribution which governs futures returns, a distribution free nonparametric kernel estimator is implemented for both the convenience yield and spot price processes. The effect of mean reversion is found in both processes and the measurement error indicates the effectiveness of the estimates. As an application of the nonparametrically estimated futures price term structure, we estimate two key market risk measurements: Value at Risk and Expected Tail Loss, as risk indicators for taking positions in the futures market. Furthermore, this research adopts the Monte Carlo simulation method for estimating the risk measures. Soybeans is found to be a little less risky than corn and the difference in the results estimated by different methods can be significant in terms of the magnitude of economic losses.
Abdoul Sam (Advisor)
Matthew Roberts (Committee Member)
Stanley Thompson (Committee Member)
Daniel Heyer (Committee Member)
Agricultural Economics; Economics; Finance

Recommended Citations

Citations

  • Zhou, F. (n.d.). Nonparametric Analysis of Commodity Futures Price Dynamics and Market Risk Measurements [Doctoral dissertation, Ohio State University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=osu1376578061

    APA Style (7th edition)

  • Zhou, Feng. Nonparametric Analysis of Commodity Futures Price Dynamics and Market Risk Measurements. Ohio State University, Doctoral dissertation. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=osu1376578061.

    MLA Style (8th edition)

  • Zhou, Feng. "Nonparametric Analysis of Commodity Futures Price Dynamics and Market Risk Measurements." Doctoral dissertation, Ohio State University. Accessed MAY 02, 2024. http://rave.ohiolink.edu/etdc/view?acc_num=osu1376578061

    Chicago Manual of Style (17th edition)

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This open access ETD is published by The Ohio State University and OhioLINK.