Princeton University Library Catalog
- Author/Artist:
- Rajeshwar, Hannah [Browse]
- Format:
- Senior thesis
- Language:
- English
- Advisor(s):
- Carmona, Rene [Browse]
- Department:
- Princeton University. Department of Operations Research and Financial Engineering [Browse]
- Class year:
- 2014
- Description:
- 82
- Summary note:
- In this thesis, we investigate the relationship between terrorism and localized commodity
returns. We begin with a set of over 100 large-fatality events and implement a
two phase methodology on the log returns of the major commodity export of each
terrorism-affected country. Phase I isolates extreme events and Phase II tests said
events using forecasted confidence intervals from fitted GARCH(1,1) models. Ultimately
we demonstrate that there are three types of instances where historical returns are
not encompassed by forecasted intervals, which we refer to as exceptions. We provide
a political and statistical analysis of these exceptions as well as potential avenues for
further investigation.
