This paper presents an assessment of the productive efficiency of an advanced biodiesel plant in Japan using Data Envelopment Analysis (DEA). The empirical analysis uses monthly input data (waste cooking oil, methanol, potassium hydroxide, power consumption, and the truck diesel fuel used for...

In this paper, we extend existing correlated default models for measuring systemic risk by proposing a model that incorporates an observable common factor that features conditional heteroscedasticity. The addition of the common factor helps to effectively capture realistic time-varying...

In this paper, we develop a new approach that combines the spectral clustering method and input-output analysis to detect environmentally important supply chain clusters. The newly developed method was applied to automobile manufacturing in Japan, and major clusters with high energy intensities...

Korean fund investors suffered significant financial losses from their international equity investments during the recent global financial crisis. Contrary to expectations for improved investment performance, the currency position for hedging purposes worsened performance. In this paper, we...

This paper proposes new measures of financial contagion, as observed during the recent Eurozone sovereign debt crisis. The new measures, referred to as contagion Value-at-Risk and contagion Expected Shortfall, are based on popular risk exposure measures and therefore can provide useful practical...

<section xml:id="fut21618-sec-0001"> This study proposes a new estimation approach for option valuation (an implied pricing kernel‐based approach), which estimates model parameters under the physical probability measure (P‐measure) using a pricing kernel implied by the GARCH option pricing model. Analyzing the dataset on the...</section>

Industrial ecology aims at closing material cycles within industrial systems by developing symbiotic functions among system components. How industrial systems are structured and how they transform, use and discard natural resources is, therefore, the key focus of industrial ecology. As an...