Various trading rules involving derivatives have been widely applied by practitioners under a wide range of market conditions to date, however, few econometric models can provide a way to accurately decide when to apply those strategies. In this paper, we employ the Innovation Regime-Switching...

In this paper we propose a general component-driven model to analyze economic data with different characteristics (or regimes) in different time periods. Motivated by empirical data characteristics, our discussion focuses on a simple model driven by a random walk component and a stationary ARMA...

In this paper we propose a general component-driven model to analyze economic data with different characteristics (or regimes) in different time periods. Motivated by empirical data characteristics, our discussion focuses on a simple model driven by a random walk component and a stationary ARMA...

Various trading rules involving derivatives have been widely applied by practitioners under a wide range of market conditions to date, however, few econometric models can provide a way to accurately decide when to apply those strategies. In this paper, we employ the Innovation Regime-Switching...

We conduct a sentiment analysis of the FOMC (Federal Open Market Committee) minutes based on the text mining results and examine the predictive ability of the resulting sentiment indicators. An adaptive Bayesian approach is employed to build the sentiment indicator for each of the Fed's...

This paper seeks empirical evidence of nonlinear mean-reversion in relative national stock price indices for Emerging Asian countries. It is well known that conventional linear unit root tests suffer from low power against the stationary nonlinear alternative. Implementing the nonlinear unit...

This paper examines common forces driving the prices of 51 highly tradable commodities. We demonstrate that highly persistent movements of these prices are mostly due to the first common component, which is closely related to the US nominal exchange rate. In particular, our simple factor-based...

The influence of climate variability on agricultural production and financial risks faced by an individual or an institution has been the center of the public discussion in the recent years. The changing weather patterns and environmental conditions could cause substantial unpredicted economic...

According to the Taiwan Council of Agriculture, frost was responsible for approximately 30 percent of aquaculture losses in Taiwan during the period 1999-2008. Farmed milkfish, the most important aquaculture crop in Taiwan, is particularly sensitive to temperature variations, and can experience...