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Price Ratios and the Cross-section of Common Stock Returns on Bucharest Stock Exchange: Empirical Evidence

Tudor, Cristiana - In: Journal for Economic Forecasting 6 (2009) 2, pp. 132-146

This paper tests the relationship between above market returns and beta, size, leverage, book-to-market equity and earning-price ratios for the Bucharest Stock Exchange common stocks. Results from cross-sectional regressions document that both book-to-market equity and earning-price ratios are...

Persistent link: https://www.econbiz.de/10005014903

PRINCIPAL COMPONENTS MODEL OF THE ROMANIAN ECONOMY. GDP – PRODUCTION SIDE*

Klein, Lawrence R.; Roudoi, Andrei; Eskin, Vladimir; … - In: Journal for Economic Forecasting 1 (2004) 5, pp. 52-66

The paper estimates a medium-term forecasting model used to generate short-term series of the quarterly GDP. The GDP … of this project were Global Insight (former DRI-WEFA – USA), the Institute of Economic Forecasting (Romania) and the … Center for Macroeconomic Analysis and Short-term Economic Forecasting (Russian Federation). This publication was made …

Persistent link: https://www.econbiz.de/10005827562

Asymmetric Conditional Volatility Models: Empirical Estimation and Comparison of Forecasting Accuracy

Miron, Dumitru; Tudor, Cristiana - In: Journal for Economic Forecasting (2010) 3

This paper compares several statistical models for daily stock return volatility in terms of sample fit and out-of-sample forecast ability. The focus is on U.S. and Romanian daily stock return data corresponding to the 2002-2010 time interval. We investigate the presence of leverage effects in...

Persistent link: https://www.econbiz.de/10008685119