This paper examines a comparative evaluation of the predictive performance of various Value-at-Risk (VaR) models in the energy market. This study extends the conventional research in literature, by proposing composite forecast models for applying to Brent and WTI crude oil prices. Forecasting...

In the last few decades, enterprises are trying to recycle the used products to reduce the negative impact on environment. This results in the need for reverse supply chain model especially for deteriorating items. The proposed model considers vendor managed inventory strategy and conducts a...

This paper examines the performance of alternative models in estimating systematic risk in the oil industry, considering the traditional market model, three time-varying models, and some combination methods of individual models. This study uses the world's top 10 oil firms’ data series to find...

This article undertakes eight hedging models (Regression, MD-GARCH, BEKK-GARCH, CCC-GARCH, ECM-MD, ECM-BEKK, ECM-CCC, and state space models) to investigate hedging effectiveness of different price scenarios in energy futures markets. Different models have systematically evidenced that hedging...

This paper focuses on the estimation of systematic risks in a sample of airlines by using three time-varying models (i.e. the Schwert and Seguin model, the multivariate GARCH model and the Kalman filter algorithm) as well as the conventional capital asset pricing model. Using both domestic and...

Using data from the Taiwanese stock market, an emerging market, this paper documents positive changes in liquidity and volatility around seasoned equity offerings (SEOs). These findings are consistent with the uncertain signal hypothesis that investors with diverse views on the information...