This paper analyzes the optimal strategy of a monopoly facing stochastic and dynamic demand and choosing a Cournot-type strategy, more precisely, adjusting its output. This investigation is motivated by the decisions of OPEC to adjust its output and by the again high and volatile oil prices. The...

This paper investigates price transmissions across European energy forward markets at distinct maturities during both normal times and extreme fluctuation periods. To this end, we rely on the traditional Granger causality test (in mean) and its multivariate extension in tail distribution...

This paper proposes an original procedure which allows for testing of Granger-causality for multiple risk levels across tail distributions, hence extending the procedure proposed by Hong et al. (2009). Asymptotic and finite sample properties of the test are considered. This new Granger-causality...

This paper investigates the effects of oil price shocks on stock market returns in emerging countries. It differs from previous works in three main aspects: i) we distinguish three groups of countries, the largest net-oil importing countries, the moderately oil-dependent countries, and the...

This paper designs a Mixture copula-based ARJI–GARCH model to simultaneously investigate the dynamic process of crude oil spot and futures returns and the time-varying and asymmetric dependence between spot and futures returns. The individual behavior of each market is modeled by the...

The present paper analyzes the investment effects of emission trading scheme (ETS) when emission permits are bankable and there is technological uncertainty with regard to the abatement cost. A real option model is employed to accommodate irreversibility of investment and cost uncertainty. In...

The European Union has introduced directives that aim to liberalize and integrate electricity and gas markets in Western Europe. While progress has been made, there have also been setbacks, partly because of concerns about national interests and security of supply. This may call for an EU...

This paper is concerned with solving a vendor–buyer integrated inventory problem with rework and a specific multi-delivery policy by a two-phase algebraic approach. Conventional method to the problem is to use differential calculus and Hessian matrix equations to prove convexity of system cost...

This paper examines a vendor–buyer integrated system that includes rework and an enhanced product delivery policy that aims at lowering stock holding costs for both the vendor and the buyer. It extends the recent work of Chiu et al. (2011) by incorporating an amending ‘n+1’ shipment policy...

A theory of a wealth maximizing, capital accumulating, price taking firm facing adjustment costs and operating in the presence of disembodied and price-induced technical progress is developed. The testable implications of the extended theory are derived under mild assumptions and are thus...