Now showing items 1-6 of 6
Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility
Financial markets for Liquified Natural Gas (LNG) are an important and rapidly-growing segment of commodities markets. Like other commodities markets, there is an inherent spatial structure to LNG markets, with different ...
WRDS Index Data Extraction Methodology
(Rice University, 2014)
This paper provides and validates an automatic procedure to generate accurate CRSP PERMNOs from Compustat GVKEYs for historical index constituents. We then validate the resulting PERMNO lists and examine some of the many ...
Lettuce be happy: The effects of fruit and vegetable consumption on subjective well-being in the UK
The importance of better understanding ways to improve mental health, and subjective well-being more generally, is an issue that is gaining increased prominence among public health professionals in the Western world. ...
Denoising Non-stationary Signals by Dynamic Multivariate Complex Wavelet Thresholding
Over the past few years, we have seen an increased need for analyzing the dynamically changing behaviors of economic and financial time series. These needs have led to significant demand for methods that denoise non-stationary ...
Estimating the Term Structure With a Semiparametric Bayesian Hierarchical Model: An Application to Corporate Bonds
(Taylor & Francis, 2011)
The term structure of interest rates is used to price defaultable bonds and credit derivatives, as well as to infer the quality of bonds for risk management purposes. We introduce a model that jointly estimates term ...
Time-varying wavelet-based applications for evaluating the Water-Energy Nexus
This paper quantifies the rising global dynamic, interconnected relationship between energy and water commodities. Over the last decade, increased international concern has emerged about the water-energy nexus. However, ...