The paper makes a critical assessment of the Principal Components-GARCH (PC-GARCH) model and argues why, when dealing with hundreds or thousands of variables, this model comes up as the most appropriate to be used. The suitability originates from the perspective of quality/cost ratio of...

The current work undertakes an overview of the forecasting volatility with high frequency data topic, attempting to answer to the fundamental latency problem of return volatility. It surveys the most relevant aspects of the volatility topic, suggesting advantages and disadvantages of each...

In this study we analyse the issue of mean reversion in forward discount based on nonlinear framework for seven currencies. Compared to previous study, we apply a novel approach of a threshold regression (TAR) and followed by nonlinear unit root tests. This approach disentangles tbodhe issue of...

This paper aims to explore the forecasting accuracy of RON/USD exchange rate structural models with monetary fundamentals. I used robust regression approach for constructing robust neural models less sensitive to contamination with outliers and I studied its predictability on 1 to 6-month...

Macroeconomic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometric model, but also incorporates expert intuition,...

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...

This article investigates sudden changes in volatility of four Central and Eastern European foreign exchange markets using the Iterated Cumulative Sums of Squares (ICSS) algorithm and re-examines the volatility persistence during the period 1999 to 2009. We determined that the identification of...

The study aims to extend the GARCH type volatility models to their nonlinear TAR (Tong, 1990) and STAR-based (Terasvirta, 1994) counter parts where both the conditional mean and the conditional variance processes follow TAR and STAR nonlinearity. The paper further investigates the models under...

The paper presents the yearly and monthly forecast of the Romanian transition economy performed on the basis of the “Dobrescu” macromodel.

The new (2002) version of the "Pre-Accession Economic Program" has to take into account both the experience accumulated in the implementation of its previous (2001) form, and the changes occurred during 2001-2002 in the domestic and international environment, which have affected the Romanian...