The paper provides a stock-market-performance analysis for three emerging European stock markets: Croatia, Slovenia, and Bosnia and Herzegovina. Using monthly observations we perform a detailed study of the performance of Croatian and Slovenian mutual funds and Bosnian investment funds. The...

In this article we implement liquidity in the standard value-at-risk framework. We incorporate bid-ask spread into basic VaR models. We then test these models on three foreign markets and on a domestic one. We conclude that liquidity VaR models adequately measure market risk. On one hand, the...

This paper examines the quality of the macroeconomic forecasts of six institutions that regularly publish forecasts for Slovenia. The analysis focuses on an evaluation of the quality of forecasts for the real and nominal growth of GDP and for the average annual inflation rate for the period from...

We analyze the European transition economies and show that time series for most of major indices exhibit (i) power-law correlations in their values, power-law correlations in their magnitudes, and (iii) asymmetric probability distribution. We propose a stochastic model that can generate time...

Leading economic indicators have a long tradition in forecasting future economic activity. Recent developments, however, suggest that there is scope for adding extensions to the methodology of forecasting major economic fluctuations. In this paper, the author tries to develop a new model, which...

The article studies the properties of business cycles in seven Central and East European countries (CEEC-7). The properties are compared using multivariate wavelet analysis. The evidence of the study suggests that the length of the business cycles in the CEEC-7 is gradually decreasing to the...

In this paper, a wavelet analysis of long-range dependence (LRD) based on the Hurst exponent is presented. An estimator is used to perform an analysis of LRD in the capital markets of six transition economies. The results suggest that we can divide the stock markets into two groups: markets with...

The paper examines the financial crises of the 1990s. They represent a new kind of crises, as they do not seem to conform to the so-called first generation and second generation literature on currency crises. The outburst of the Asian crises brought a new challenge for economic policy. The...

To avoid the pitfalls of the widely used NBER model, in this paper we have adopted neural networks to forecast business cycles. We find that our model has overcome some of the main deficiencies of the classical leading indicators model: first, the model was able to correctly forecast all...

The classical NBER leading indicators model was built solely within a linear framework. With recent developments in nonlinear time-series analysis, several authors have begun to examine the forecasting properties of nonlinear models in the field of forecasting business cycles. The research...