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Two Essays In Financial Economics, Kyle J. Putnam
Two Essays In Financial Economics, Kyle J. Putnam
University of New Orleans Theses and Dissertations
The following dissertation contains two distinct empirical essays which contribute to the overall field of Financial Economics. Chapter 1, entitled “The Determinants of Dynamic Dependence: An Analysis of Commodity Futures and Equity Markets,” examines the determinants of the dynamic equity-commodity return correlations between five commodity futures sub-sectors (energy, foods and fibers, grains and oilseeds, livestock, and precious metals) and a value-weighted equity market index (S&P 500). The study utilizes the traditional DCC model, as well as three time-varying copulas: (i) the normal copula, (ii) the student’s t copula, and (iii) the rotated-gumbel copula as dependence measures. Subsequently, the determinants of …