Prior literature finds that variables that can forecast market returns in sample do not beat historical averages in forecasting market returns out of sample. We propose a naïve model averaging (NMA) method, which produces mostly positive out-of-sample R2s for the variables that are significant...

We study the economic policy spillovers using framework developed by Diebold & Yilmaz (2009). Our main contribution is the analysis of the system of economic policy uncertainty spillovers at different persistence of frequency responses to shocks and to various magnitude of shocks. Mainly the...

We introduce a semiparametric smooth coefficient estimator for recreation demand data that allows more flexible modeling of preference heterogeneity. We show that our sample of visitors each has an individual statistically significant price coefficient estimate leading to clearly nonparametric...

Despite the increasing dominance of digital technology in modern communications, face-to-face interactions are believed to play an irreplaceable role in facilitating complex cross-border business transactions. However, empirical research to identify the impact often faces the challenge of...

A plastic response is a type of resilient response to disruption whereby a supply chain is significantly redesigned. This is in contrast to the most common responses to disruption emphasized in the extant resilience literature, in which restoration of a supply chain to its pre disruption state...

Adopting a profit-based approach to the estimation of the technical efficiency of South Korean banks, we systematically analyse, within a non-parametric DEA analysis, how the choice of risk management control variable impacts upon such estimates. Using the model of Liu et al. (2010), we examine...

We consider mean-field contribution games, where players in a team chooses some effort level at each time period, and the aggregate reward for the team depends on the aggregate cumulative performance of all the players. Each player aims to maximize the expected reward of her own share subject to...

In this paper, we study the disruptive power of the mobile digital sharing economy to the road freight logistics industry. New information technologies, such as the mobile internet, mobile payment methods, and GPS, have enabled platforms to match freight shippers’ demand with carriers’...