Social and Behavioral Sciences Commons^™

Three Essays On Empirical Asset Pricing, Ming Zeng

Dissertations and Theses Collection (Open Access)

This thesis consists of three chapters. In Chapter1, I show that returns to currency carry and momentum strategies are compensations for the risk of US monetary policy uncertainty (MPU), with risk exposures explaining 96% of their cross-sectional return variations. The findings are consistent with an intermediary-based exchange rate model. Higher MPU triggers position unwinding by the intermediary, which decreases there turns of currency with high-interest rate or appreciation, while that with low-interest rate or depreciation earns positive returns. Different responses stem from the long and short behavior of the intermediary. The explanatory power of US MPU risk is robust and …

Essays In Commodities And Freight Markets, Nelson Yap

Dissertations and Theses Collection (Open Access)

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.