The deployment of smart grids in electricity systems has given rise to much interdisciplinary research. The new technology is seen as an additional instrument available to States to achieve targets for promoting competition, increasing the safety of electricity systems and combating climate...

In this paper, we question whether there is a catch-up effect or announcement effecting Foreign Direct Investment (FDI) from the European Union (EU) to the ten EU accession countries. We study FDI outflows for Romania, a small economy with few historical ties to Eastern Europe, and compare FDI...

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To date, the most distinguished regression-based backtest, proposed by Engle and Manganelli (2004), relies on a linear model. However, in view of the di- chotomic character of the...

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk and the Expected Shortfall: the RiskMetrics...

Some company boards of directors and management teams are still reluctant to embrace enterprise risk management (ERM) because of the uncertainty regarding its value to the bottom line. A survey of audit and risk management executives suggests that the use of ERM leads to increased management...