Essays about: "Ilya Kits"

Found 1 essay containing the words Ilya Kits.

  1. 1. Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach

    University essay from Linköpings universitet/Nationalekonomi

    Author : Elin Borg; Ilya Kits; [2020]
    Keywords : Commodity futures contracts; Commodity producer index; Cross-quantilogram; Dependence structures; Spillovers; Tail dependence;

    Abstract : This thesis examines the dependence structures between commodity futures and corresponding commodity producer equity indices in bearish, bullish and normal market conditions. We study commodity futures and producer indices in the energy, precious metals, gold and agriculture commodity markets using daily return data that ranges from 16 December 2005 to 28 June 2019. READ MORE