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dc.contributor.advisorΠαντελίδης, Θεολόγοςel
dc.contributor.authorΤσελίκης, Πασχάληςel
dc.descriptionΔιπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2016.el
dc.description.abstractMany economic time-series present significant changes in their behavior in the wake of “extreme” events such as a financial crises or war. When such changes arise in the (time-series) data, a powerful statistical tool can be employed, i.e. that of Markov switching models. This dissertation employs the Markov regime switching framework to capture the time-varying dynamics in 5 commodity indexes over the period 1995:10-2015:09. These indices are the following: (a) the Commodity Agricultural Raw Materials Index; (b) the Commodity Metals Price Index; (c) the Commodity Fuel (energy) Index; (d) the Commodity Food Price Index; and (e) Gold. Also, the return of S&P 500 is used as an additional regressor. The empirical results show that the S&P 500 and the food index have a positive and statistically significant effect on all commodity returns.en
dc.publisherΠανεπιστήμιο Μακεδονίαςel
dc.subjectCommodity Markets Dynamicsen
dc.subjectMarkov Regime Switching Modelen
dc.titleInvestigating the dynamics of commodity marketsen
dc.typeElectronic Thesis or Dissertationen
dc.contributor.departmentΔιατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμηel
Appears in Collections:ΔΠΜΣ Οικονομική Επιστήμη (M)

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