This article investigates whether time variation in the returns' co-movement of oil and Baltic Dirty Tanker Index can be linked to market uncertainty. We measure uncertainty using a battery different proxies considering both parametric non-parametric methods study its role from statistical economic perspectives. Using regression framework combined with regime switching analysis, we show that pr...

We explore whether uncertainty avoidance, an important aspect of national culture, influences the level informativeness share prices about future earnings. Uncertainty avoidance relates to extent which members a society feel threatened by uncertain or unknown situations. employ data from 20 countries, comprising 26,882 firm-year observations reporting under same accounting standards. Using pane...

This paper performs Bayesian estimation of affine Gaussian dynamic term structure models (DTSMs) in which the risk price parameters are restricted. A new econometric framework for DTSM estimation allows the researcher to select plausible constraints from a large set of restrictions, to correctly quantify statistical uncertainty, and to incorporate model uncertainty. The main empirical result is...

Several measures of volatility have been developed in order to quantify the degree of uncertainty of an energy price series, which include historical volatility and price velocities, among others. This paper suggests using the permutation entropy, topological entropy and the modified permutation entropy as alternatives to measure volatility in energy markets. Simulated data show that these meas...

We address the simultaneous determination of pricing, production, and capacity investment decisions by a monopolistic firm in a multi-period setting under demand uncertainty. We analyze the optimal decision with particular emphasis on the relationship between price and capacity. We consider models that allow for either bi-directional price changes or models with markdowns only, and in the latte...