If transitory profitable trading opportunities exist, filter rules are used in practice to mitigate transaction costs. The filter size is difficult to determine a priori. Our paper uses a dynamic programming framework to design a filter that is optimal in the sense of maximizing expected returns...

A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date-stamping the origination and collapse of economic exuberance, and providing valid confidence intervals for explosive growth rates. The method involves the recursive implementation of a...

This paper uses a novel dataset collected by the first author from peri-urban areas of Ho Chi Minh City, Vietnam in 2008 to examine how the poor use their loans, and factors affecting their credit participation and credit constraints. The paper finds the presence of many commercial banks in the...

We examine the long-run relationship between remittances and the real exchange rate for less developed countries using a panel cointegration approach. We employ an innovative method for the measurement of the multilateral real effective exchange rate and we focus on high remittance economies. We...

While dynamic optimal hedging is of major interest, it remains unclear as to whether incorporating higher moments of a return distribution leads to better hedging decisions. We examine the effects of introducing a bivariate skew-Student density function with static and autoregressive conditional...

We study the relationship between export prices and domestic fragrant basmati rice markets in Pakistan over the period 2009 to 2022, combining monthly price data from five locations and six international references rice markets. Unlike previous studies, we use a quantile cointegration model to...

This paper investigates how to estimate the likelihood of a customer accepting a loan offer as a function of the offer parameters and how to choose the optimal set of parameters for the offer to the applicant in real time. There is no publicly available data set on whether customers accept the...

Globalisation presents business organisations with some special challenges that they have never met before; they have to manage their activities in the ambit of global supply chain networks. Traditional managerial approaches, techniques and principles are no longer effective in dealing with these...

In this paper, we introduce the cross-border logistics problem with fleet management. A major phenomenon of implementation of open-door policy in China is the move of Hong Kong-based manufacturers’ production lines to China, crossing the border to take advantages of lower production costs,...

This paper investigates the role of the returns policy in the co-ordination of supply chain: A manufacturer provides a return policy for unsold goods to two competing retailers who face uncertain demand. The problem is described with a game theory structure: The manufacturer, as the Stackelberg...