Global commodity futures market modelling and statistical inference
This thesis first investigates the asset pricing ability of a new risk factor, namely Risk-Neutral Skewness (estimated based on option data) in the global commodity futures market. Skewness trading behaviour in the option market is attributed to heterogeneous belief and selective hedging concern. Th...
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University of Birmingham
2018
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.760519 |