In recent years, there has been a resurgence in the development of control charts for monitoring the mean of the ratio of two correlated variables. However, most of the existing research has focused on the univariate mean of the ratio of two correlated variables under the assumption that the...

In this paper, we revisit the study of an optimal risk management strategy for an insurer who wants to maximize the expected utility by purchasing reinsurance and managing reinsurance counterparty risk with a default-free hedging instrument, where the reinsurance premium is calculated by the...

Over the last three decades, transnational certification standards have proliferated to fill perceived ‘governance gaps’ in developing countries. Transnational non-government organisations and private standards-setting agencies have developed standards that cover a vast range of areas such...

Power-to-gas (PtG), a technology that converts electricity into hydrogen, is expected to become a core component of future low-carbon energy systems. While its economics and performance as a sector coupling technique have been well studied in the context of perfectly competitive energy markets,...

The Monetary Authority of Singapore, instead of relying on short-term interest rates or monetary aggregates as its monetary policy instrument, conducts policy by managing the exchange rate. This paper investigates how this operating procedure works. For empirical purposes, it assumes the...

In economics, Principal Components, its generalized version that takes into account heteroscedasticity, and Kalman lter and smoothing procedures are among the most popular procedures for factor extraction in the context of Dynamic Factor Models. This paper analyses the consequences on point and...

We provide a theoretical result for the time series-based cross validation that sheds light on the choice of validation sample size. We also consider an alternative way to construct validation samples and demonstrate the improved performance in certain situations via simulations

I present a geometric version of Blackwell’s order related to the the dispersion of posterior beliefs induced by an experiment. I show that, when the posterior beliefs are affinely independent on the probability space, a more informative experiment corresponds to a more dispersed distribution...

This note revisits the relationship between unemployment and inflation in the long-run. Using data on OECD countries to capture low-frequency dynamics, panel regressions confirm the negative relationship between unemployment and inflation as in the short-run Phillips curve. Yet, inflation...