Equilibrium real exchange rate provides useful information on the harmonisation of convergence criteria with exchange rate stability criteria; a requirement for accession to the European Monetary Union. This study applies econometric procedures for identifying the equilibrium real exchange rate...

The paper presents some results revealing the existence of the Balassa-Samuelson effect in Romania as well as some estimates of its impact on inflation, appreciation of the real exchange rate and rising competitiveness of the Romanian economy. * Study within the CEEX Programme Project No....

In this paper we revisit this issue of long memory in stock returns by applying a range of parametric and semi-parametric techniques to daily, weekly and monthly index return data on nine countries, namely the USA, Japan, France, Great Britain, Taiwan, Singapore and Romania. We also discuss a...

The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. The paper is build upon the framework developed in Necula (2007) for...

The aim of this paper is to develop a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. For this purpose we first prove some results regarding the quasi-conditional...

The aim of this paper is to develop a continuous time general equilibrium model for a two country Lucas type economy. The model assumes that the output in the two countries follows a jump-diffusion stochastic process. We obtain the results concerning the evaluation of financial assets, the...

The aim of this paper is to develop a framework for asset pricing in a continuous time general equilibrium model for a two country Lucas type economy. The model assumes that the output in the two countries follows a jump-diffusion stochastic process characterized by constant growth rates and...