This study explores dynamic price relationships among nine major stock index futures markets, combining an error correction model with directed acyclic graph (DAG) analysis. DAG-based innovation accounting results show that the Japanese market is isolated from other major stock index futures...

This study investigates the dynamic structure of nine major stock markets using an error correction model and directed acyclic graphs (DAG). The DAG representation provides a structure of causality among these markets in contemporaneous time. Building on this contemporaneous structure and the...

This study investigates financial contagion among seven international stock markets around the October 19, 1987 crash. Building on a recent advance in vector autoregression analysis by Swanson and Granger (1997), data-determined historical decompositions are conducted to provide a day-by-day...

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...

The dynamics of the U.S. and Canada natural gas spot markets are evolving throughderegulation policies and technological advances. Economic theory suggests that thesemarkets will be integrated. The key question is the extent of integration among themarkets. This thesis characterizes the degree...

An international wheat trade model incorporating climate variability is used to simulate different scenarios when wheat producers in the USA, Canada, and Australia adopt El Niño/Southern Oscillation (ENSO)-based climate forecasts for use in production decisions. Adoption timing and rates are...

The economics of information is a broad field covering all aspects of information including decision making. We briefly describe 4 methods used to model the decision-making process. This is not an exhaustive list of the methods used to value information, nor are differences between the methods...