In recent times, in the literature of inventory management there exists a notorious interest in production-inventory models focused on imperfect production processes with a deterministic time horizon. Nevertheless, it is well-known that there is a high influence and impact caused by the learning...

The aim of this study is to test the ability of the yield curve on US government bonds to forecast the future evolution in the prices of commodities often used in as raw materials. We consider the monthly prices of nine commodities for more than 30 years. Our findings, confirmed by several...

This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework offered by Bayesian nonparametric mixtures not only...

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper, we extend the stochastic volatility (SV) model for...

Using US firms with over $5b market cap, this paper tests the impact of levered beta on the firm’s market value and optimal capital structure. Using the synthetic rating method in a recursive model, the paper shows the current and optimal weighted average cost of capital sensitivities as the...

The primary purpose of the study is to identify and measure the properties of asset bubbles, volatility clustering, and financial contagion during three recent financial market anomalies that originated in the U.S. and Chinese markets. In particular, we focus on the 2000 DotCom Bubble, the 2008...

This paper considers a financing problem for an innovative firm that is launching a web-based platform. The entrepreneur, on one hand, faces a large degree of demand uncertainty on his product and on the other hand has to deal with incentive problems of professional blockchain participants who...

This statistical study refines and updates Sharpe's empirical paper (1975, Financial Analysts Journal) on switching between US common stocks and cash equivalents. According to the original conclusion, profitable market timing relies on a representative portfolio manager who can correctly...

Many actuarial science researchers on stochastic modeling and forecasting of systematic mortality risk use Cairns-Blake-Dowd (CBD) Model (2006) due to its ability to consider the cohort effects. A three-factor stochastic mortality model has three parameters that describe the mortality trends...

The diverse tax burdens and economic situations of EU member states are causing investors to relocate their investments to countries that offer better tax conditions and a better economic environment. The total amount of corporate tax revenue is therefore influenced by tax, macroeconomic and...