This paper describes the links between financial sector and macroeconomic conditions into MEAM macro model. The focus is on banking lending rate, in terms of macroeconomic indicators impact, such as the probability of default of private sector and economic developments. Through this material we...

This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset pricing model on price and payoff autocorrelations. We obtain the approximations of the basic pricing equation that describe the mean price “to-day,” mean payoff...

We discuss the economic reasons why the predictions of price and return statistical moments in the coming decades, in the best case, will be limited by their averages and volatilities. That limits the accuracy of the forecasts of price and return probabilities by Gaussian distributions. The...

This paper provides a new perspective on the expectations building mechanism in foreign exchange markets. We analyze the role of expectations regarding macroeconomic fundamentals for expected exchange rate changes. In doing so, we assess real-time survey data for 29 economies from 2002 to 2023...

This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval Δ results in the random properties of price and return. We describe how...

We consider economic obstacles that limit the reliability and accuracy of value-at-risk (VaR). Investors who manage large market transactions should take into account the impact of the randomness of large trade volumes on predictions of price probability and VaR assessments. We introduce...

This paper investigates the estimation of the Value-at-Risk (VaR) across various probability levels for the log-returns of a comprehensive dataset comprising four thousand crypto-assets. Employing four recently introduced Adaptive Conformal Inference (ACI) algorithms, we aim to provide robust...

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities...

This paper argues that strong capital market governance is essential for Bangladesh's economic growth by fostering trust, transparency, and investor confidence. It outlines key elements like clear disclosure, fair market conduct, and investor protection. While Bangladesh has made progress with...

Serbian. У раду се разматра коришћење књиговодствено-финансијских показатеља пословања за аналитичке сврхе, како у интерним анализама, у оквиру предузећа, тако и у...