This paper seeks to investigate the time-varying conditional correlations to the futures FOREX market returns. We employ a dynamic conditional correlation (DCC) Generalized ARCH (GARCH) model to find potential contagion effects among the markets. The under investigation period is 2014-2019. We...

This paper provides new evidence on the convergence process of energy, water and food per capita consumption levels for 108 countries from 1971 to 2018, using a common data set, with VAR and panel data approach. We establish a new notion of multivariate sigma and beta-convergence. The results...

We develop a new variational Bayes estimation method for large-dimensional sparse vector autoregressive models with exogenous predictors. Unlike existing Markov chain Monte Carlo (MCMC) and variational Bayes (VB) algorithms, our approach is not based on a structural form representation of the...

In this paper, by adopting a quasi-Lamperti transform unitizing the process’ diffusion matrix at the initial time, we provide a new explicit recursive formula to compute the expansion coefficients for the pathwise Taylor expansion method of Li (2013). The quasi-Lamperti transform also allows...

India being a horticultural nation, its economy prevalently relies on agribusiness yield development and associated agro-industry items. In India, farming is, to a great extent, affected by water, which is profoundly eccentric. Farming development relies on differing soil parameters,...

The key to estimating the impact of a program is constructing the counterfactual outcome representing what would have happened in its absence. This problem becomes more complicated when agents self-select into the program rather than being exogenously assigned to it. This paper uses data from a...

This study examines the impact of neighbourhood effects and individual farm characteristics on the decision process of organic dairy conversion in Norway, using a unique, spatially explicit farm-level panel set comprising information at the population level from 2003 to 2015. Our results reveal...

Topological data analysis provides a new perspective on many problems in the domain of complex systems. Here, we establish the dependency of the mean value of functional $p$-norms of 'persistence landscapes' on a uniform scaling of the underlying multivariate distribution. Furthermore, we...

Portfolio optimization approaches inevitably rely on multivariate modeling of markets and the economy. In this paper, we address three sources of error related to the modeling of these complex systems: 1.oversimplifying hypothesis; 2. uncertainties resulting from parameters' sampling error; 3....

Assortment selection is one of the most important decisions faced by retailers. Most existing papers in the literature assume that customers select at most one item out of the offered assortment. While this is valid in some cases, it contradicts practical observations in many shopping...