Like all the member states of the European Union, Slovenia was also obligated to implement EUDirectives 2006/48/EC and 2006/49/EC into national banking legislative. Basel II rules were implementedinto Slovenian legislative in December 2006 and have been valid from 1st of January 2007. Before...

The classical NBER leading indicators model was built solely within a linear framework. With recent developments in nonlinear time-series analysis, several authors have begun to examine the forecasting properties of nonlinear models in the field of forecasting business cycles. The research...

The paper provides a stock-market-performance analysis for three emerging European stock markets: Croatia, Slovenia, and Bosnia and Herzegovina. Using monthly observations we perform a detailed study of the performance of Croatian and Slovenian mutual funds and Bosnian investment funds. The...

In this article we implement liquidity in the standard value-at-risk framework. We incorporate bid-ask spread into basic VaR models. We then test these models on three foreign markets and on a domestic one. We conclude that liquidity VaR models adequately measure market risk. On one hand, the...

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...

We analyze the European transition economies and show that time series for most of major indices exhibit (i) power-law correlations in their values, power-law correlations in their magnitudes, and (iii) asymmetric probability distribution. We propose a stochastic model that can generate time...

Leading economic indicators have a long tradition in forecasting future economic activity. Recent developments, however, suggest that there is scope for adding extensions to the methodology of forecasting major economic fluctuations. In this paper, the author tries to develop a new model, which...