In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict base metal prices. We use both in-sample and out-of-sample exercises to conduct such examination. The theoretical underpinning of these results relies on the present-value model for stock-price...

This chapter surveys research on agent-based models used in finance. It will concentrate on models where the use of computational tools is critical for the process of crafting models which give insights into the importance and dynamics of investor heterogeneity in many financial settings.

A firm's termination leads to bankruptcy costs. This may create an incentive for outside stakeholders or the firm's debtholders to bail out the firm as bankruptcy looms. Because of this implicit guarantee, firm shareholders have an incentive to increase volatility in order to exploit the...

This paper uses a tax revenues reallocation scheme as the payment vehicle in a choice experiment to value marine restoration in the Black Sea. Two reallocation treatments are administered; one proposing to reduce current public expenditures on renewable energy projects and the other, the training...

The outcome of the US presidential election is one of the most significant events that impacts trade, investment, and geopolitical policies on the global stage. It also sets the direction of the world economy and global politics for the next few years. Hence, it is of prime importance not just...

Of uttermost importance is the fact that forecasting macroeconomic variables provides a clear picture of what the state of the economy will be in future (Sultana et al, 2013). Nothing is more important to the conduct of monetary policy than understanding and predicting inflation (Kohn, 2005)....

We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance-covariance matrices, and the other is on offdiagonal sub-matrices which define the covariance between two non-overlapping segments of the high-dimensional...

This paper considers the problem of parameter estimation in a general class of semiparametric models when observations are subject to missingness at random. The semiparametric models allow for estimating functions that are non-smooth with respect to the parameter. We propose a nonparametric...

The conventional Wilcoxon/Mann-Whitney test can be invalid for comparing treatment effects in the presence of missing values or in observational studies. This is because the missingness of the outcomes or the participation in the treatments may depend on certain pre-treatment variables. We...

Motivated by the latest effort to employ banded matrices to estimate a high-dimensional covariance Σ , we propose a test for Σ being banded with possible diverging bandwidth. The test is adaptive to the “large p , small n ” situations without assuming a specific parametric distribution for...