in this paper, a new revenue efficiency data envelopment analysis (re-dea) approach is considered for finding the most revenue efficient unit with price uncertainty in both optimistic and pessimistic perspectives. the optimistic and pessimistic perspectives use efficient frontier and inefficient frontier, respectively. an integrated model is introduced to find decision making units (dmus) that ...

The present paper has two main objectives: first, to accurately estimate commodity price uncertainty; and second analyze the uncertainty connectedness among markets macroeconomic uncertainty, using time-varying vector-autoregressive (TVP-VAR) model. We use eight markets, namely energy, fats oils, beverages, grains, other foods, raw materials, industrial meals, precious metals. sample covers per...

We investigate the determinants of aggregate commodity returns and establish the following findings. (1) Common predictors of bond and stock returns, such as the short rate and the yield spread, also predict commodity returns. A high yield spread predicts low commodity returns, consistent with commodities being a hedge for market fluctuations. (2) Even controlling for these common predictors, a...

Virtual power plant (VPP) can be studied to investigate how energy is purchased or sold in the presence of electricity market price uncertainty. The VPP uses different intermittent distributed sources such as wind turbine, flexible loads, and locational marginal prices (LMPs) in order to obtain profit. VPP should propose bidding/offering curves to buy/sell from/to day-ahead market. In this pape...

We consider an economy in which a set of agents own productive assets which provide a commodity dividend stream, and the agents also receive individual commodity income streams over a finite time horizon. The agents can buy and sell this commodity at a certain spot price and buy and sell their shares of the productive assets. The proceeds can be invested in financial assets whose prices are mod...

This paper investigates the common movements of commodity sectors in China as well as the economic underpinnings of the comovements. We employ a Bayesian dynamic latent factor model to disentangle the common and idiosyncratic sector-specific factors of the prices of a group of China's commodity sectors: petrochemicals, grains, energy, non-ferrous metals, oils & fats, and softs. The results indi...

T he relationship between the price of oil and the level of economic activity is a fundamental empirical issue in macroeconomics. In this research, by using a multivariate GARCH-in-Mean VAR, we try to investigate direct effects of uncertainty of oil price on macroeconomics of Iran by using annually data from 1965 to 2013.Results show that uncertainty about oil prices had a negative a...

In this paper, we study the efficiency of the Chinese wheat and soybeans futures markets and assess the conditions in agricultural commodity futures and cash markets in China. Formal statistical tests are conducted through Johansen's cointegration approach to identify the long-term equilibrium relationship between futures and cash markets. Three different cash prices from Zhengzhou Grain Wholes...