Many financial time series look erratic and their evolution is notoriously hard to forecast. Most if not all economist do not see financial markets as being governed by some low-dimensional system of deterministic equations. Rather, it is generally accepted that financial variables evolve under...

Our purpose in this communication is to present a methodology for forecasting univariate time series. This methodology combines standard forecasting techniques with ``wavelet methodology. The recently developed wavelet theory has proven to be a useful tool in the analysis of some problems in...

In this paper, we consider a dynamic spatial market equilibrium problem with inequality market clearance conditions. Both supply and demand market prices are treated as equilibrium factors along with quantities shipped between the markets. The rates of change for each of the factors are...

In this paper, a variational inequality approach for modeling competitive international financial equilibrium in the presence of financial futures is presented. The optimal composition of hedged and nonhedged assets and liabilities for each sector of each country, as well as the prices of all...

A phenomenon widely observed in industries which are in an early stage is that they reduce their costs as a result of accumulating experience, that is, they reduce their costs with their output. This is known in the economic literature as the learning by doing effect, and it was studied for the...

Much of macroeconomics and finance employs stochastic difference equation descriptions of no-arbitrage or first-order conditions. A problem with empirical implementations of resulting present-values in the intertemporal decision rules and asset valuations of agents is that long-horizon forecasts...

Since the 70s, a wide stream of research has grown up on the presence of ``anomalies in the behavior of prices in financial markets. Both in the stock and the bond markets, many so called``puzzles were discovered, which were often explained resorting to factors such as agents heterogeneity,...

Risk-sensitive control problems are designed to exacerbate the response of decision rules to amount of uncertainty confronting the controllers. Alternatively, they can be thought of as providing an element of robustness to the decision rules. In economies populated by risk-sensitive agents, risk...

Perhaps the greatest technological innovation of the next several decades will be universal access and utilization of the Internet. Already congestion is becoming a serious impediment to efficient utilization. We introduce a stochastic equilibrium concept for a general mathematical model of the...

In this study we combine the dynamic programming method with the projection methods for solving stochastic growth models. One of the inconveniences of Judd's projection technique is that finding a good initial guess is not that easy or it is time costly especially when the dimensionality of the...