The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed...

The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore, a mathematical approach to be able to find interrelations between the price development of two different financial instruments is developed in this paper. Computing the...

The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore, a mathematical approach to be able to find interrelations between the price development of two different financial instruments is developed in this paper. Computing the...

This paper proposes a profit model for spread trading by focusing on the stochastic movement of the price spread and its first hitting time probability density. The model is general in that it can be used for any financial instrument. The advantage of the model is that the profit from the trades...

Agricultural producers and input suppliers must regularly make decisions based on forecasts; however, most publicly available forecasts are for outputs. Research has shown the importance of being a low-cost operator. Thus, focusing on inputs may be beneficial. The objective of this research was...

It is a well established fact that electricity use increases with income. What is less well known is that - despite the positive correlation between electricity use and income - a significant portion of low-income households consume very large amounts of electricity. In this paper, we make a...

This paper examines whether risk-based pricing promotes risk-reducing effort. Such mechanisms are common in private insurance markets, but are rarely incorporated in government assurance programs. We analyze accidental underground fuel tank leaks--a source of environmental damage to water...