The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global fertilizer prices. The empirical result...

The main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, and GJR model are estimated for six global fertilizer prices and the crude oil price. Weekly data f...

In this study, we attempted to determine whether a relationship exists between stock returns and the weather variables of temperature, humidity, and cloud cover in the Korean stock market. We delineated three key implications with regard to weather effects. First, after the 1997 financial crisis, the presence of a weather effect disappeared. Second, the inclusion of weather variables helps to m...

Over the past years, cryptocurrencies have drawn substantial attention from media while attracting many investors. Since then, cryptocurrency prices experienced high fluctuations. In this paper, we forecast high-frequency 1 min volatility of four widely traded cryptocurrencies, i.e., Bitcoin, Ethereum, Litecoin, and Ripple, by modeling to select best model. We propose various generalized autore...

Overnight forecasting is a crucial challenge for revenue managers because of the uncertainty associated between demand and supply. However, there limited research that focuses on predicting daily hotel demand. Hence, this paper evaluates various models’ traditional time series performances at multiple horizons. The models include seasonal naïve, Holt–Winters (HW) triple exponential smoothing, a...