Lawrence Robert Klein played a fundamental role in the genesis and development of econometric applications and forecasting. The work dedicated to forecasting earned him the 1980 Nobel Prize in Economic Sciences "for the creation of econometric models and their application to the analysis of...

In this paper we analyze the impact of quantitative easing policies issued by the European Central Bank, the Bank of England, the Federal Reserve and the Bank of Japan on credit risk, in nine states belonging mainly to the Central and Eastern European area. We use an ARMA-GARCH model to obtain...

The tail events represent a phenomenon long studied in the literature of stock market returns. The dynamical properties of conditional distributions are currently analyzed by means of the first four moments via Gram-Charlier likelihood functions. We propose an analysis of changes in the values...

Central and Eastern European (CEE) stock markets have gradually attracted international investors’ attention after 1990, and their integration into the European capital market will lead to increased maturity of these markets, accompanied by higher attractiveness to international investors. The...

This paper addresses the problem of option bounds computation under the assumption that the price of the underlying asset follows a jump-diffusion Merton process as formulated in Perrakis (1993) extending the number of the jumps from one jump up and one jump down with fixed sizes to a finite...

The aim of the paper is to assess the determinants of foreign direct investment (FDI) inflow for the recent members of the EU (CEEC-41) using panel data methods. Our analysis is important because FDI is considered as a main contributor to economic development, modernization, income growth,...

Among economists it is widely believed that high tax rates and ineffective tax collection by the government are the main causes contributing to the rise of the informal economy. Economists have already established two relationships, at least empirically demonstrated, between tax rates and tax...

The paper tries to estimate the natural rate of unemployment in the case of Romania, concentrating on implementing an econometric schedule in order to estimate the value of the NAIRU. One of the major problems in literature is that of identification, and the solution could be in finding certain...

The paper aims to model the underground economy using two different models: one based on the labor supply method and a generalized model for the allocation of time. The model based on the labor supply method is conceived as a simulating one in order to determine some reasonable thresholds of the...

An important goal of the study is to demonstrate that the actual transition in the East European economies is going to be integrated into a more general process of a long-run transition, which also includes the Western economies. The author designed two models for capturing stagflation and for...