What are the drivers of retailer pricing tactics over time? Based on multivariate time-series analysis of two rich data sets, we quantify the relative importance of competitive retailer prices, pricing history, brand demand, wholesale prices, and retailer category-management considerations as...

An analysis on the dynamic relationship between trade volume in the KTB futures market and the net long position of investment companies, foreign investors and banks was carried out to investigate the relationship among major market participants' net long position and changes in trade volume,...

Impulse response and forecast error variance matrix asymptotics are developed for VAR models with some roots at or near unity and some cointegration. For such models, it is shown that impulse responses that are estimated from an unrestricted VAR are inconsistent at long horizons and tend to...