Publication Type
PhD Dissertation
Version
publishedVersion
Publication Date
1-2018
Abstract
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.
Keywords
Structural breaks, Functional principal component analysis, OPEC and the energy market, Freight options, Implied volatility, Fundamental analysis
Degree Awarded
PhD in Business (Finance)
Discipline
Finance | Finance and Financial Management
Supervisor(s)
LIM, Kian Guan
Publisher
Singapore Management University
City or Country
Singapore
Citation
YAP, Nelson.
Essays in commodities and freight markets. (2018).
Available at: https://ink.library.smu.edu.sg/etd_coll/167
Copyright Owner and License
Author
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.