Inference about predictive ability is usually carried-out in the form of pairwise comparisons between two forecasting methods. Nevertheless, some interesting questions are concerned with families of models and not just with a couple of forecasting strategies. For instance: Are time-series models...

There is a relationship between predictability and complexity. The problem of evaluating the complexity of the macroeconomic phenomenon can be reduced to decomposition into its principal components (which may have, in their turn, a certain degree of complexity) and to identify its common sources...

Economic time series are, in their vast majority, integrated series so, their modelling procedure stumbles upon the problem of spurious regression. When existent, cointegration is the simplest way of eliminating the illogical correlation established between time series due to the presence of...

We continue with the problem of the relation between predictability and complexity in the Romanian economy, analyzing other two components of GDP: domestic consumption and public consumption. The basic idea of this work is that the unpredictability of a system gives a measure of its complexity,...

The structure of the macromodel used for simulations is presented in Introduction and in the Appendix. For the period 2005-2008, a Main Scenario was elaborated. It embodies performances envisaged in “Romania’s Medium-Term Economic Strategy” (2000) and in the 2001-2004 versions of the...

This paper evaluates the output gap and the effects of the inflationist shocks to the Romanian economy. We use an extension of the Blanchard-Quah decomposition with three variables: the real output, the unemployment rate and the inflation. Three types of shocks are evaluated: the productivity...

Risk has become an important variable in many areas of research. Measures of risk have been included in research on corporate products diversification, international geographic diversification, vertical integration, business strategy and industry characteristics, organizational process and...

In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions. The main finding is that the t-copula and the Gumbel-Clayton mixture copula are the most...

The problem of proper beta (measure of systematic risk) estimation is crucial both for academic considerations and financial market practice purposes. There is a group of empirical studies that questioned the assumption of beta time-invariance, while only some of them tried to model the process...