This paper studies a resource extraction problem with capacity constraints, expansion options and stochastic demand process. The producer has to decide on the optimal rate of extraction and the optimal time to build further capacity simultaneously. Using numerical methods to solve the problem,...

We show that incorporating endogenously-determined structural breaks into an asymmetric GARCH model reduces volatility persistence in Bitcoin prices. We find that both good news and bad news have less impact on volatility if structural breaks are incorporated. Hence, our results may indicate...

This paper examines the dynamics of the relationship between the prices of crude oil and of refined products. Theory insinuates some kind of dynamic equilibrium to govern these relations but we suspect that this equilibrium condition may be subject to changes over time. In Brent-based spreads...