Our research objectives are twofold: (1) we use the Du Pont model and market ratios such as PER (price-earnings-ratio) and EPS (earnings-per-share) to explain the causes of financial perfor- mances of Romanian companies listed on the Bucharest Stock Exchange for 2002-2009 and to identify the...

This article studies the convergence of risk on a sample of 13 European indexes. We use a set of 31 model specifications of a significant number of models belonging to the GARCH class and on their estimates we build an aggregate index in a Value-at-Risk approach. We use this index as a base for...

This paper studies the effect of a series of quantitative easing initiatives belonging to the Bank of Japan on Central and Eastern European sovereign CDSs. Using daily data for the 2005 – 2013 period and considering 23 announcements of QE initiatives we build an econometric event study...

The connection between the macroeconomic development on one hand and the stock market dynamics on the other hand is the focus of many research initiatives. We are trying to apply the methodology used in the field of macroeconomic convergence to the dynamics of market capitalization for European...

The importance of connections between macroeconomic growth and financial markets is studied for a long time in the academic research. The special case of the developing countries, which is the case of the Central and Eastern European economies highlights this phenomenon even more, as many of...

In the current post-crisis era, the events with the highest probability to move the financial markets are the announcements of financial authorities concerning the quantitative easing decisions. The objective of this paper is to build an analysis of the existence of connections among the GBP...

The tail events represent a phenomenon long studied in the literature of stock market returns. The dynamical properties of conditional distributions are currently analyzed by means of the first four moments via Gram-Charlier likelihood functions. We propose an analysis of changes in the values...

Lawrence Robert Klein played a fundamental role in the genesis and development of econometric applications and forecasting. The work dedicated to forecasting earned him the 1980 Nobel Prize in Economic Sciences "for the creation of econometric models and their application to the analysis of...

In this paper we analyze the impact of quantitative easing policies issued by the European Central Bank, the Bank of England, the Federal Reserve and the Bank of Japan on credit risk, in nine states belonging mainly to the Central and Eastern European area. We use an ARMA-GARCH model to obtain...