This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model's parameters and in the computation of Value-at-Risk (VaR). Results show...

This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model´s parameters and in the computation of Value-at-Risk (VaR). Results...

We investigate the existence of nonlinear patterns in the dynamics of the main stock index returns in Romania. We use daily closing data of the BET stock index series from 2004 to early 2010. Based on several tests for nonlinearity we reject the null hypothesis of linearity. We use several types...

I use the Bayesian approach in order to derive an estimation of Okun coefficient for Romania. The data used is at quarterly frequency and it consists in the unemployment rate and GDP between 2000 and 2009. I use three different priors, a normal one, a beta prior and a uniform prior for the...

In this paper we propose simulation-based techniques to investigate the finite sample performance of likelihood ratio (LR) tests for the nonlinear restrictions that arise when a class of forward-looking (FL) models, typically used in monetary policy analysis, is evaluated with Vector...

The paper evaluates the transfer efficiency of the Austrian bread grain policy taking into account distributive leakages, i.e. how much of the transfers officially intended to support farm income are finally realised in the upstream and downstream industries. Gardner's [Am. J. Agric. Econ. 65...