This paper studies a resource extraction problem with capacity constraints, expansion options and stochastic demand process. The producer has to decide on the optimal rate of extraction and the optimal time to build further capacity simultaneously. Using numerical methods to solve the problem,...

We show that incorporating endogenously-determined structural breaks into an asymmetric GARCH model reduces volatility persistence in Bitcoin prices. We find that both good news and bad news have less impact on volatility if structural breaks are incorporated. Hence, our results may indicate...

We offer a novel approach for solving optimal price adjustment problems, when the underlying process is a Geometric Brownian Motion (GBM) process. Our approach relies on characterizing the cumulative cost of deviation and the cost of adjusting price until the hitting time of the lower or upper...

Machine Learning (ML) is generating new opportunities for innovative research in energy economics and finance. We critically review the burgeoning literature dedicated to Energy Economics/Finance applications of ML. Our review identifies applications in areas such as predicting energy prices...

The income elasticity of consumption depends not only on the demand function but also on the characteristics of the supply function. If supply is not completely elastic, the income elasticity of consumption will be less than the income elasticity of demand, with the difference depending on the...

We estimate the price elasticity of the demand for gasoline smuggling in Iran. For this purpose, we employ a detailed panel of monthly gasoline consumption data from 160 distribution hubs during the period 2005-2014. We apply two different approaches which are diff-in-diff and panel data...

We offer a continuous-time contingent claims valuation framework to quantify the tax shield value of US mortgage interest deduction (MID) under uncertainty. We identify non-linear forms (both convex and concave regions) in the pay-off of MID, and discuss the implications for optimal mortgage...

This paper extends existing asset pricing models by differentiating between the storable and non-storable components of aggregate consumption and by introducing a commodity storage technology to the economy. I use this extended model to elaborate the interactions between long-run consumption...

We present an equilibrium model of the prices of crude oil and refined products that accounts for supply and demand shocks, the elasticity of the supply and demand markets, and the characteristics of the production and adjustment costs of refiners. We use the model to examine the relation...