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...

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...

The ARCH type of models is a notorious family of models proven to be suitable for predicting financial returns. Their notoriety flourished after Bollerslev (1986) developed the econometric Generalized ARCH model (GARCH). This paper provides a presentation of the main characteristics of the...

The objective of our paper is to analyze the possibility to provide a forecast for the sign of the financial asset returns using the empirical prices of stocks listed at the Bucharest Stock Exchange. Previous research provided by Christoffersen and Diebold (2004) among others show that even if...

Few subjects of international economics are so much exposed to heated debates as the exchange rate problem. From monetary crises and balance-of-payments adjustments to monetary zones, dealing with currency swings seems to embody any economist's worries about the rightfulness of economic models...

When companies go public to gather financial resources, the stocks they sell in an initial public offering (IPO) tends to be underpriced, resulting in a substantial price jump on the first day of trading. Underpricing of IPO has attracted important researching efforts in the last time. The...

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...

The analysis of the comovements of stock market returns was approached with many modeling techniques ranging from the simple and GARCH style dynamic conditional correlation to multivariate GARCH and studies of the bivariate distribution. The quest for the analysis of the now standardized concept...

Stock options are very controversial financial instruments and new disputes arise regarding their introduction into expenses. In this paper we specifically consider the impact of stock option compensation recognition on the stock returns. The fact that there are early adopters of the new...