We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...

In this paper I estimate a New Keynesian Model with sticky prices for the Romanian economy for the period 1991-2002, using quarterly data. The estimation was made in Dynare using the Bayesian approach. The degree of the price stickiness is moderate. The model makes good predictions in terms of...

The paper examines the long-term dynamics of four Central and Eastern European countries, namely the Czech Republic, Hungary, Poland and Romania between 2002 and 2012. The structure of the paper is twofold. In the first part, it examines the relationship between a set of macro financial...

This paper proposes the Fixed Effects Filtered (FEF) and Fixed Effects Filtered instrumental variable (FEF-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T is fixed. It is shown that the FEF and FEF-IV estimators...

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Econometrics has strongly evolved in recent years on both methodological level and in terms of applications. This article presents different econometric methods (time series econometrics, information panels, models of duration) and their applications to companies: demand analysis and forecasting...

Realized measures of volatility based on high frequency data contain valuable information about the unobserved conditional volatility. In this paper, we use the Realized GARCH model developed by Hansen, Huang and Shek (2012) to estimate and forecast price volatility for four agricultural...

This paper explores the properties of pre-test strategies in estimating a linear Cliff-Ord-type spatial model when the researcher is unsure about the nature of the spatial dependence. More specifically, the paper explores the finite sample properties of the pre-test estimators introduced in...

The paper analyzes the regression problem for small and undersized sample. Two classical algorithms are compared: Simulated Annealing (SA) versus Repetitive Stochastic Guesstimation (RSG). An improved version of RSG is built and compared to the previous two algorithms. The author concludes that...

We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance of taking care of serial correlation. We find that...