This paper analyzes Value at Risk (VaR) and Expected Shortfall (ES) calculation methods in terms of bias and dispersion against benchmarks computed from a fat-tailed parametric distribution. The daily log returns of the Nikkei-225 stock index are modeled by a truncated stable distribution. The...

Often, numerical simulations for dynamic, stochastic models in economics are needed. Higher order methods can be attractive, but bear the danger of generating explosive solutions in originally stationary models. Kim-Kim-Schaumburg-Sims (2008) proposed pruning to deal with this challenge for...

We empirically address the implications of biofuel policy regarding major grains, to the subsequent evolution of the markets for calories from the three major grains, maize, wheat and rice. The implied market variables, namely, market price, consumption, and stocks, using a structurally...

Rotational effects are known to influence severely the aerodynamic performance of the inboard region of rotor blades. The underlying physical mechanisms are however far from being well understood. The present work addresses this problem using Reynolds averaged Navier–Stokes computations and...

Often, numerical simulations for dynamic, stochastic models in economics are needed. Higher order methods can be attractive, but bear the danger of generating explosive solutions in originally stationary models. Kim-Kim-Schaumburg-Sims (2008) proposed pruning to deal with this challenge for...

In this paper we investigated the impact of some indicators on the average earnings at county level in Romania for the period 2000-2012. After a short statistical analysis of the indicators used in this study and after excluded Ilfov and Bucharest, we grouped the counties into three main...