Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/35053
Title: Jumps and regime switching in commodity prices
Authors: TANMAY SATPATHY
Keywords: Jump diffusion, Regime switching, Particle filter, Commodity futures
Issue Date: 28-Jan-2011
Source: TANMAY SATPATHY (2011-01-28). Jumps and regime switching in commodity prices. ScholarBank@NUS Repository.
Abstract: This article explores the role of jumps and changes in regime in commodity prices. We extend the Schwartz and Smith (2000) idea of representing factors by permanent and transitory components to build a sequence of models to understand the individual and collective importance of these two features. Analyzing weekly crude oil futures data from 1990-2008, we find strong evidence of 1) persistent high and low volatility regimes, 2) economically and statistically significant jumps in both the permanent and transitory factors with the latter being relatively more important, and 3) higher occurrence of jumps in higher volatility regime. On average, the final model shows a 19% improvement in fit over the model without jumps or regime switching.
URI: http://scholarbank.nus.edu.sg/handle/10635/35053
Appears in Collections:Ph.D Theses (Open)

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