This paper examines the roles of futures prices of crude oil, gasoline, ethanol, corn, soybeans and sugar in the energy-grain nexus. It also investigates the own- and cross-market impacts for lagged grain trading volume and open interest in the energy and grain markets. According to the results,...

This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...

We consider the service parts end-of-life inventory problem of a capital goods manufacturer in the final phase of its life cycle. The final phase starts as soon as the production of parts terminates and continues until the last service contract expires. Final order quantities are considered a...

Nonlinear time series models, especially those with regime-switching and conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little...

Consumers often have to make decisions involving computations with interest rates. It is well known from the literature that computations with percentages and thus with interest rates amount to a difficult task. We survey a large group of consumers, and we find that questions on interest rates...

A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The robust forecast is based on the median of the...

The paper analyses the leading journals in Neurosciences using quantifiable Research Assessment Measures (RAM), highlights the similarities and differences in alternative RAM, shows that several RAM capture similar performance characteristics of highly cited journals, and shows that some other...

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent realized...

In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an empirical comparison of a set of models, namely BEKK,...

Maximal outerplanar graphs are characterized using three different classes of graphs. A path-neighborhood graph is a connected graph in which every neighborhood induces a path. The triangle graph $T(G)$ has the triangles of the graph $G$ as its vertices, two of these being adjacent whenever as...