We apply the bootstrap technique proposed by Kosowski <italic>et al</italic>. [<italic>J. Finance</italic>, 2006, <bold>61</bold>, 2551--2595] in conjunction with Carhart's [<italic>J. Finance</italic>, 1997, <bold>52</bold>, 57--82] unconditional and Ferson and Schadt's [<italic>J. Finance</italic>, 1996, <bold>51</bold>, 425--461] conditional four-factor models of performance to examine whether...

In the last decade, neural networks have emerged from an esoteric instrument in academic research to a rather common tool assisting auditors, investors, portfolio managers and investment advisors in making critical financial decisions. It is apparent that a better understanding of the network's...

In a two-party VMI channel, the vendor operates the basic stocking and delivery functions and makes inventory replenishment decisions while the retailer is responsible for customer acquisition and in-store services. This paper focuses on such retail channel and proposes an analytical model for...

Few proposed types of derivative securities have attracted as much attention and interest as option contracts on volatility. Grunbichler and Longstaff (1996) is the only study that proposes a model to value options written on a volatility index. Their model, which is based on modeling volatility...

Previous work on crude oil price modeling has generally focused on two theoretical approaches, either the optimal control analysis of pricing of a depletable resource, or OPEC as a partial monopolist setting oil prices to maximize net present value. Neither has been wholly satisfactory. We...