While considerable research has estimated liquidity costs of futures trading, little comparable research is available about options markets. This study determines effective bid-ask spreads in options and futures markets for Kansas City Board of Trade (KCBT) wheat. Effective bid-ask spreads are...

Several recent papers have used annual changes and monthly data to estimate demand systems. Such use of overlapping data introduces a moving average error term. This paper shows how to obtain consistent and asymptotically efficient estimates of a demand system using seasonally differenced data....

This research forecasts peak call volume to allow a centralized call center to minimize staffing costs. A Gaussian copula is used to capture the dependence among nonnormal distributions. Peak call volume can be easily and more accurately predicted using the marginal probability distribution with...