In this dissertation, three related issues of building empirical time series models forfinancial markets are investigated with respect to contemporaneous causality, dynamics,and structural change. In the first essay, nation-wide industry information transmissionamong stock returns of ten sectors...

This dissertation examines several issues regarding the congestion on the UpperMississippi River and Illinois Waterway. Chapter II identifies and measures the impactof lock congestion on grain barge rates on these waterways. Results indicate grain bargerates on both rivers are not affected by...

Endogenous tariff formation has been the subject of theoretical studies that attempt todetermine the fundamental economic variables that influence the structure of industryprotection implemented by international trade policy makers. An empirical analysis ofendogenous tariff formation under the...

The environmental horticulture industry, also known as the “Green Industry”, is the second most important sector in the United States’ agricultural economy in terms of economic output and one of the fastest growing segments of agriculture; however, it has experienced a steady slowdown in...

Financial market and its various components are currently in turmoil. Many largecorporations are devising new ways to overcome the current market instability.Consequently, any study fostering the understanding of financial markets and thedependencies of various market components would greatly...

Given the role electricity and natural gas sectors play in the North American economy,an understanding of how markets for these commodities interact is important. Thisdissertation independently characterizes the price dynamics of major electricity andnatural gas spot markets in North America by...

Monetary policy has been given either too many positive attributes or, in contrast, only economy-disturbing features. Central banks must take into account a wide variety of factors to achieve a proper characterization of modern economies for the optimal implementation of monetary policy. Such is...

In this thesis we study three basic issues related to international black tea markets: Are black tea markets integrated? Where is the price of black tea discovered? Are there leaders and followers in black tea markets? We use two statistical techniques as engines of analysis. First, we use time...

This study proposes one plausible procedure to address two methodological issues,which are common in micro- and macro- econometric analyses, for the full realization ofresearch potential brought by recently available high dimensional data. To address the issue ofhow to infer the causal structure...

This dissertation investigates various issues of interest regarding the workings and uses of commodity futures markets. Chapter II evaluates the relative performances of various estimators of bid-ask spreads in futures markets using commonly available transaction data. Results indicate a wide...