This paper aims at investigating the dynamic dependence and extreme risk comovement of oil price and exchange rates in seven oil-importing and seven oil-exporting countries. For this purpose, we use six representative time- varying copula models and four types of tail dependences to assess the...

The high growth rate of mortgage debt in various emerging and developed economies has captured headlines following the financial crisis. In this paper, we investigate how mortgage debt impacts household consumption behavior and various components of household consumption. Utilizing a...

In this article, we consider a classic dynamic inventory control problem of a self-financing retailer who periodically replenishes its stock from a supplier and sells it to the market. The replenishment decisions of the retailer are constrained by cash flow, which is updated periodically...

We study the mechanism that controls the shape of the bear market through an information diffusion perspective, and establish a frontier of market decline, in terms of a trade-off between amplitude, duration and the rate of information diffusion. Empirical analysis using data from 15 stock...

This paper develops a frequentist model averaging approach for threshold model specifications. The resulting estimator is proved to be asymptotically optimal in the sense of achieving the lowest possible squared errors. In particular, when com-bining estimators from threshold autoregressive...

Analysts of survey data are often interested in modelling the population process, or superpopulation, that gave rise to a `target' set of survey variables. An important tool for this is maximum likelihood estimation. A survey is said to provide limited information for such inference if data used...