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...

Based on the 2012 Version of the Romanian Macromodel, the first section of this paper discusses the evolution of the Romanian economy in 2014. The previous simulations were revised taking into account the changes in the internal and external socio-economic conjuncture or in the available...

This study investigates the behavior of US stock price–dividend relationships over the period 1871:01 to 2012:03 using a two-regime Threshold Autoregressive (TAR) model with an autoregressive unit root developed by Caner and Hansen (2001), which allows for simultaneously testing nonlinearity...

The paper describes the version (2012) of the Romanian economic macromodel2. The model has been constructed taking into account the important consequences induced by the integration of the country into the European Union and by the world crisis. Some supplementary requests of the government...

The option price forecasting is still a big challenging problem because the option pricing is determined by many factors. Accordingly, it is difficult to predict option price accurately. To counter this problem, this paper proposes a novel hybrid model to forecast the option price. The proposed...

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...

This paper examines the quality of the macroeconomic forecasts of six institutions that regularly publish forecasts for Slovenia. The analysis focuses on an evaluation of the quality of forecasts for the real and nominal growth of GDP and for the average annual inflation rate for the period from...

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,...

The importance of knowing the country’s national wealth level and structure is determined by the fact that these factors condition the sense and content of the development of a country on short, medium and long term. A study of the World Bank made in 2006 proves that the sustainable...