Abandoning the classical econometric modeling approach which consists in using
explanatory variables (suggested by economic theory for prediction), we choose instead to …

Abstract1 This paper compares several statistical models for daily stock return volatility in
terms of sample fit and out-of-sample forecast ability. The focus is on US and Romanian …

The aim of this study consists in examining the changes in the volatility of daily returns of
EUR/RON exchange rate using on the one hand symmetric GARCH models (ARCH and …

The main objective of this paper is to find the impact of inflation, interest rate, growth and
profitability on stock returns. The data for profitability and growth have been collected from 5 …

This paper investigates the volatility of daily returns in the Romanian stock market over the
period January 2005 to December 2017. Volatility is analysed using four stock market …

Abstract Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory are two basic
models for understanding the relationship between stock return and risk in assessing shares …

In recent years more and more complex software packages and more specialized are used
to model and to explain economic process. In this paper we present a study on Romanian's …

This study examines the ability of fundamental and macroeconomics variables (book-to-
market ratio, price-earnings ratio, current ratio, return on assets, inflation, change in …

Diversification purpose is to increase returns and reduce risk. In the context of the new
architecture of European financial market, our purpose is to compare the behavior of the …

Se prezintă o analiză a riscului de piaţă bursieră din România, în speţă pe baza volatilităţii
indicelui sectorial BET-FI (Bucharest Exchange Trading Investment Funds), elaborat de …