We consider economic obstacles that limit the reliability and accuracy of value-at-risk (VaR). Investors who manage large market transactions should take into account the impact of the randomness of large trade volumes on predictions of price probability and VaR assessments. We introduce...

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities...

We consider the consumption-based asset-pricing model, derive a modified basic pricing equation, and present its successive approximations using the Taylor series expansions of the investor’s utility during the averaging time interval. For linear and quadratic Taylor approximations, we derive...

This paper presents an economic model that explores the optimisation of tax rates and reaching an equilibrium within a generalised feudal economy. This model examines the relationships between agricultural output, taxation and income distribution among the prominent societal classes of the...

The importance of the working document is that it allows analyzing the information and the status of the cases associated with (SARS-CoV-2) COVID-19 as data open to the municipal government and especially in the Totonacapan Zone in Mexico, from the registry patient diary, according to age, sex,...

Stubble burning in Punjab and Haryana presents significant environmental and health challenges. This paper develops a Keynesian economic model to analyze the equilibrium between stubble burning and alternative methods, integrating the role of government intervention, central bank policies, and...

In this paper we develop and apply a stochastic multistage dynamic cooperative game for managing transboundary water resources, within the water-food-energy nexus framework, under climate uncertainty. The mathematical model is solved for the non-cooperative and cooperative (Stackelberg...

This paper develops a dynamic general equilibrium (DGE) model to assess the impact of AI-driven automation on labor and capital allocation in an economy. The model considers the endogenous response of firms to task automation and labor substitution, showing how the increasing use of AI affects...

state spaces with periodically time-varying transition probabilities is introduced. The finite-dimensional probability distributions of these time-periodic chains are first studied and their correspondence with the marginal distributions and transition probabilities is shown. Then, the concepts...