In this article, we consider a discrete-time economy in which we assume that the short-term interest rate follows a quadratic term structure in a regime-switching asset process. The possible nonlinear structure and the fact that the interest rate can have different economic or financial trends...

The article studies the correlation structures of a large panel of agricultural commodities prices between January 1990 and February 2014. We use a various collection of mathematical and statistical methodologies (estimated correlation matrix and principal component analysis) to capture these...

The article analyses the development of retail competition in electricity markets, compares market structures and performance in Great Britain and Norway, and concludes that there is no satisfactory outcome in a multimarket setting like Great Britain. We study differences in retail profits...

The failure of the asset-light retailer's organizational model is indicative of the incapacity of this organizational structure to manage efficiently the combination of sourcing and market risks in the current market environment. Because of the structural dimensions of electricity's market...

When studying oligopolies, a tension exists between models supporting tacit collusion and those supporting the noncollusive behaviour of firms. Using a panel on retail fuel margins in France over more than 20years, we find mitigated evidence of collusive behaviour in the retail gasoline...

This article examines the response of gasoline prices in France to shocks to crude oil prices in the international market. Using the Autoregressive Distributed Lag (ARDL) bounds testing approach of cointegration, we investigate potential price asymmetries in the French diesel and premium...

We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...

In this paper, we consider the problem of mean–variance hedging of a defaultable claim. We assume the underlying assets are jump processes driven by Brownian motion and default processes. Using the dynamic programming principle, we link the existence of the solution of the mean–variance...

In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest rate can have different economic or financial trends...

This article extends the previous literature on the Tobin tax and financial transaction tax. We investigate the linkages between trading volumes and transaction costs using both a linear and a nonlinear methodology. In stark contrast with previous studies, we consider the possibility that our...