18 research outputs found
NEW PERSPECTIVES ON FINANCIAL CONTAGION AND MARKET INTERDEPENDENCE IN THE AFTERMATH OF THE CRISIS
No full textValue at Risk: A Comparative Analysis
No full textstudy develops a comparative analysis concerning Value at Risk measure for a portfolio consisting of three stocks traded at Bucharest Stock Exchange. The analysis set out from 1-day, 1% VaR and has been extended in two directions: the volatility models and the distributions which are used when computing VaR. Thus, the historical volatility, the EWMA volatility model, GARCHtype models for the volatility of the stocks and of the portfolio and a dynamic conditional correlation (DCC) model were considered while VaR was computed using, apart from the standard normal distribution, different approaches for taking into account the non-normality of the returns (such as the Cornish-Fisher approximation, the modeling of the empirical distribution of the standardized returns and the Extreme Value Theory approach). The results indicate that using conditional volatility models and distributional tools that account for the non-normality of the returns leads to a better VaR-based risk management. For the considered portfolio VaR computed on the basis of a GARCH (1,1) model for the volatility of the portfolio returns where the standardized returns are modeled using the generalized hyperbolic distribution seems to be the best compromise between precision, capital coverage levels and the required amount of calculations. Moreover, the Expected Shortfall risk measure offers very good precision results in all approaches, but at the cost of rather high capital coverage levels.Value at Risk,dynamic conditional correlation
Backtesting Value-at-Risk: Case Study on the Romanian Capital Market
No full textAbstractThis study assesses the performance of eight VaR models by means of the unconditional coverage and independence tests. The analysis was developed on a portfolio consisting of four stocks traded at Bucharest Stock Exchange and covered a period of five years, between October 2006 and September 2011. The results indicated that the performance of risk models is greatly affected by the characteristics of the data series used to estimate them. Also, the independence test showed that violation clustering is an actual threat for both simple and complex VaR approaches
The Study of Public Debt. Which Are the Distinctions between the Emerging and Advanced Economies in the European Union?
No full textThe aim of our paper is to provide a comprehensive study of public debt in various aspects across the European Union,emphasizing the existing distinctions between the emerging and advanced economies in Europe. Using annual data ranging from 1995 to 2013 we develop investigation manifold. Firstly, we study the descriptive statistics of key variables affecting public debt dynamics. We found that the ex-communistcountries recorded lower public debt ratios, negative flow costs and primary deficits. By comparison, the advanced economies managed to run primary surpluses in order to balance larger public debt-to-GDP ratios and the positive flow cost. Secondly, using the accounting approach we analyzed the dynamics of public debt. The results indicated unstable dynamics for the cases of CzechRepublic, Latvia, Lithuania, Poland, Slovakia, Slovenia, Cyprus, France, Germany, Greece, Ireland, Italy, Malta, Portugal, Spain and the United Kingdom. Then, employing a logit model with fixed effects, we also showed that running primary deficits is more likely to increase the probability of having unstable dynamics of public debt. Thirdly, we examined the distribution of the flow cost and revealed that there is an increased probability of extreme values which, in the case of large debt ratios, might lead to high debt burdens for the European countries. We also found that the uncertainty of the future debt burden is driven by the variability of the real GDP growth rate
Do Investors Listen to Fiscal Policy? – Study case Bucharest Stock Exchange
No full textThe aim of this paper is to examine whether information on fiscal policy includes in the stock prices in a way which is consistent with the Efficiency Market Hypothesis. We conduct our investigation for the Bucharest Stock Exchange which is one emerging stock market from Central and Eastern Europe. For the purpose of our study, we employ the methodology suggested by Darrat (1988). We analyse the influence of past fiscal policy on current stock market return using two distinct datasets comprising of quarterly and monthly data. The results indicate that when we do not control for the anticipated and unanticipated effects of fiscal policy, past lags of changes in the overall budget balance and in public debt-to-GDP ratio have a significant impact on stock market return and, thus, we fail in accepting the semi-strong form of the efficiency market hypothesis
On the construction of three-valued Lukasiewicz-Moisil algebras
No full textAbstractThe author constructs a three-valued Lukasiewicz-Moisil algebra from a monadic three-valued Lukasiewicz-Moisil algebra, generalizing A. Monteiro's (1974) construction of a three-valued Lukasiewicz-Moisil algebra from a monadic Boolean algebra, and constructs a monadic three-valued Lukasiewicz-Moisil algebra from a monadic n-valued one, generalizing V. Boicescu's (1971) construction of a three-valued Lukasiewicz-Moisil algebra from an n-valued one, n ⩾ 3. Thus one can construct a three-valued Lukasiewicz-Moisil algebra from a monadic n-valued Lukasiewicz-Moisil algebra, n ⩾ 2
Considerations regarding the Valuation and Valorization of Cultural Heritage
No full textThis paper presents the theoretical framework for the
valuation of cultural heritage and of the economic effects produced by
investments in the preservation and restoration of cultural heritage. The
following methods are considered: impact studies, hedonic pricing
method, contingent valuation method and travel cost method. The paper
focuses on methodological issues, difficulties encountered when
implementing the methods, as well as on their specific limitations.
Moreover, each method is illustrated through the results of quantitative
studies in the field
