This paper explores the business cycle in Bulgaria and the Baltic countries: Estonia, Latvia and Lithuania during the 1993-2005 period. The paper aims at deepening the understanding of the nature of output fluctuations. The neoclassical approach will be employed, much in the spirit of the real...

Nowadays, algorithms and computer programs, which are going to speed up, short time to run and less memory to occupy have special importance. Toward these ends, researchers have always regarded suitable strategies and algorithms with the least computations. Since linear programming (LP) has been...

We implement a dynamic programming algorithm on a computational grid consisting of loosely coupled processors, possibly including clusters and individual workstations. The grid changes dynamically during the computation, as processors enter and leave the pool of workstations. The algorithm is...

In this paper, we present a stochastic agent-based model and extend an artificial financial market by considering a stochastic process of market fundamentals. The model predicts that groups of noise traders are busy communicating when market uncertainty is high. In particular, we examine the...

In the real economic world, we often suffer from the default risk—the present financial crisis could serve as an evidence. The long established idea for inhibiting the default behavior is to resort to collateral, and this idea has profound effect on the market equilibrium. To study this...

We present a monetary endogenous growth model and analyse the effects of fiscal and monetary policy with real money as an argument in the utility function. We show that a balanced government budget gives a higher balanced growth rate and lower inflation than a situation with permanent public...

Volatility forecasting is an important process required to measure variability in equity prices, risk management, and several other financial activities. Generalized autoregressive conditional heteroscedastic methods <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$(\textit{GARCH})$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mrow> <mo stretchy="false">(</mo> <mi mathvariant="italic">GARCH</mi> <mo stretchy="false">)</mo> </mrow> </math> </EquationSource> </InlineEquation> have been used to forecast volatility...</equationsource></equationsource></inlineequation>

In this paper we present efficient high-order methods based on weighted essentially non-oscillatory (WENO) technique and backward differencing formula (BDF) to solve the European and American put options of the Black–Scholes equation. In order to achieve high-order convergent and prevent the...

Information value is widely used to assess discriminatory power of credit scoring models, i.e. models that try to predict a probability of client’s default. Moreover it is very often used to assess the discriminatory power of variables that enter into these models. This means that the...

This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic General Equilibrium (DSGE) models that are solved using a second-order accurate approximation. I apply the Kalman filter to a state-space representation of the second-order solution based on the...