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We use a cost of carry model with nonzero transactions costs to motivate estimation of a nonlinear dynamic relationship between the Samp;P 500 futures and cash indexes. Discontinuous arbitrage suggests that a threshold error correction mechanism may characterize many aspects of the relationship...
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A highly-respected public recognition of supply chain management (SCM) excellence is the Supply Chain Top 25 List, published annually by AMR Research. By employing event study method, this study extensively examined stock market reactions to annual announcements of the AMR Supply Chain Top 25...
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This study analyses the prediction power of uncertainty measures, especially the cryptocurrency uncertainty indices on the long-term volatility of the gold markets. By utilising a mixed data sampling model, GARCH-MIDAS, we show that various uncertainty measures may capture different types of...
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