The fiscal and budgetary policy should play a key role to alleviate the impact of the business cycle on the real economy. Procyclical fiscal policy is particularly undesirable in developing countries, as it not only exacerbates the business cycle, but also the high output volatility hurts the...

The study consisted in collecting financial information for a group of distressed and non-distressed Romanian listed companies during the period 2006–2008, in order to create early warning signals for financial distressed companies using the following methodologies: the Logistic and the Hazard...

The last 20 years have witnessed the financial liberalization of equity markets across the world which have opened the international financing path and resulted in risk diversification, capital cost decreases and investment growth. However, liberalization may have negative effects as well. It...

We investigate the presence of long memory in emerging CEE stock markets using the nonparametric, semiparametric and parametric approaches. We consider the methodology of Bai and Peron to test for structural breaks in the return series and we perform tests of fractionally integrated process on...

In this paper we propose an early warning system for the Romanian banking sector, as an addition to the standardized CAAMPL rating system used by the National Bank of Romania for assessing the local credit institutions. We aim to find the determinants for downgrades as well as for a bank to have...

Real Gross Domestic Product is usually computed at quarterly intervals, which makes it uncomfortable to introduce into different types of macroeconomic models, that usually make use of higher frequency data (monthly, weekly) such as inflation, interest and unemployment. Analysts and decision...

In this paper we focus our attention on the tail risk and how different capital markets are influencing each other. Previous studies have detected return and volatility across countries during crises periods. Using the well-know Value at Risk (VaR) measure for heavy tailed financial returns, our...

The purpose of this paper is to conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets with focus and empirical evidence on crude-oil market. Using crude-oil futures and options on futures data from New York Mercantile Exchange (NYMEX) there are presented...

More than forty years ago researchers started to reconsider the behavior of financial data. Since then, stylized facts about financial returns have become common knowledge in economics. Characteristics as fat-tailedness, leptokurtosis and serial dependence have been extensively analyzed. As the...

Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to test the hypothesis under which the the conditional variance of stock returns is an asymmetric function of past information. This paper...