This paper focuses on a nonlinear stochastic model for financial simulation and forecasting based on assumptions of multivariate stochastic correlation, with an application to the European market. We present in particular the key elements of a structured hierarchical econometric model that can be used to forecast financial and commodity markets relying on statistical and simulation methods. The...

In this research, a model is designed to assess the effect of banking facilities over private sector investment. In this model, private investment is a function of non-oil GDP, and with a time lag, of import of capital goods, investment of public sector and the real facilities granted by the banking system to the private sector. The effects of the model indicate a meaningful effect of the ...

As a necessary requirement for multi-period risk measure, time consistency can be examined from two aspects: dynamic riskmeasure andoptimal investment policy. In this paper,we first study the relationship between the time consistency of dynamic risk measure and the time consistency of optimal investment policy and obtain the following conclusions: if the dynamic riskmapping is time consistent a...

Time-of-use (ToU) pricing is widely used by the electricity utility to shave peak load. Such a scheme provides users with incentives invest in behind-the-meter energy storage and shift load towards low-price intervals. However, without considering implication on investment, an improperly designed ToU may lead significant welfare loss, especially when over-invest storage, which leads new consump...