Traditional panel stochastic frontier models do not distinguish between unobserved individual heterogeneity and inefficiency. They thus force all time-invariant individual heterogeneity into the estimated inefficiency. Greene (2005) proposes a true fixed-effect stochastic frontier model which,...

Traditional panel stochastic frontier models do not distinguish between unobserved individual heterogeneity and inefficiency. They thus force all time-invariant individual heterogeneity into the estimated inefficiency. Greene (2005) proposes a true fixed-effect stochastic frontier model which,...

Various trading rules involving derivatives have been widely applied by practitioners under a wide range of market conditions to date, however, few econometric models can provide a way to accurately decide when to apply those strategies. In this paper, we employ the Innovation Regime-Switching...

Various trading rules involving derivatives have been widely applied by practitioners under a wide range of market conditions to date, however, few econometric models can provide a way to accurately decide when to apply those strategies. In this paper, we employ the Innovation Regime-Switching...