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Filtering by: Advisor Durham, Catherine A. Resource Type Dissertation Subject Arbitrage -- Econometric models

Spatial and inter-temporal price analysis : including risk perceptions and dynamic trade flow information

Creator:

Han, Shengfei

Abstract:

A regime-switching model for market integration study is extended to incorporate dynamic trade flow information and risk perceptions based on an expected utility framework. An application of the extended model to the US-China soybean markets analysis shows that: One, the positive arbitrage rent uncounted-for in the extended model has been...

Resource Type:

Dissertation

Full Text:

Abstract approved: Catherine A. Durham A regime-switching model for market integration study is extended