The aim of this article is the study of complex structures which are behind the short-term predictability of stock returns series. In this regard, we employ a seasonal version of the Mackey-Glass-GARCH(p,q) model, initially proposed by Kyrtsou and Terraza (2003) and generalized by Kyrtsou (2005,...

In this paper we conduct a formal testing of the possibility of chaotic dynamics in daily exchange rate variables, namely exchange rate returns, volatility and normalized exchange rates. Substantial nonlinear dependence is found in exchange rate returns, even when GARCH-type structure is...

This study develops the Regime Dependent Generalized Auto Regressive Conditional Heteroskedasticity (RD-GARCH) model and applies it to a daily index of returns on U.S. equities covering the period 1926 to 2000. The RD-GARCH model is different from previous models from the ARCH family in that it...

This research identifies the presence of long memory given return series of the stock markets in the ASEAN-4 countries, namely, Indonesia, Malaysia, the Philippines and Thailand. Daily stock prices from 1994 to 2004, which were neither adjusted for dividends nor inflation, were employed in the...

The formation of the European Union (EU) is the one of the biggest political – economic events of the last 50 years. The aim of this study is to develop EU economy functioning system dynamic model. Main research method is system dynamics. General scheme of EU economy system dynamic model is...

In a paper construction branch forecasting model which allows to estimate the industry development problems is shown. Difference from anthers models, in given paper the main attention is turned to the building of the living area. Model stands from sub model (blocks): amount of apartments, real...

The aim of this article is the study of complex structures which are behind the short-term predictability of stock returns series. In this regard, we employ a seasonal version of the Mackey-Glass-GARCH(p,q) model, initially proposed by Kyrtsou and Terraza (2003) and generalized by Kyrtsou (2005,...

This paper examines the very long-run relationship between income and emissions of enteric methane in New Zealand, over the period 1895 to 1996. Controlling the emissions of this particular greenhouse gas is of crucial importance if that country is to meet its obligations as a signatory to the...

In a paper construction branch forecasting model which allows to estimate the industry development problems is shown. Difference from anthers models, in given paper the main attention is turned to the building of the living area. Model stands from sub model (blocks): amount of apartments, real...

The paper analyzes the circumstances in which the combination of forecasts yields better results than the use of the forecasts separately. We propose a method of combining forecasts based on their efficiency on long and medium-term using as benchmarks the combination of forecasts based on...