The study is a part of the series of financial models included in a doctoral dissertation completed at the Karachi University (Mehar: 1994). An Econometric model has been constructed in the study and a Three-Stage Least Square (3SLS) technique was applied for the estimation of the model. The...

The purpose of this paper represents the foundation of a score function, effective in the forecast of bankruptcy risk for companies in the Romanian economy. In order to achieve bankrupt / non-bankrupt discrimination in the econometric model, we have used relevant indicators regarding liquidity,...

The purpose of this paper is to use discriminant analysis to substantiate a score function effective in bankruptcy risk prediction of enterprises on Romanian economy example. For achieving discrimination between bankrupt and non-bankrupt in the scoring model we used relevant financial ratios...

The journal continues publishing the consultation of Professor Dean Fantazzini. In this issue econometric analysis of financial data in risk management is discussed. Basic concepts of credit risk management in the context of recent Basel-II agreement recommendations are introduced....

The connection between the macroeconomic development on one hand and the stock market dynamics on the other hand is the focus of many research initiatives. We are trying to apply the methodology used in the field of macroeconomic convergence to the dynamics of market capitalization for European...

Sornette et al. (1996), Sornette and Johansen (1997), Johansen et al. (2000) and Sornette (2003a) proposed that, prior to crashes, the mean function of a stock index price time series is characterized by a power law decorated with log-periodic oscillations, leading to a critical point that...

We provide clear-cut evidence for economically and statistically significant multivariate jumps (multi-jumps) occurring simultaneously in stock prices by using a novel nonparametric test based on smoothed estimators of integrated variances. Detecting multi-jumps in a panel of liquid stocks is...

The importance of connections between macroeconomic growth and financial markets is studied for a long time in the academic research. The special case of the developing countries, which is the case of the Central and Eastern European economies highlights this phenomenon even more, as many of...

We propose a novel regime-switching approach for electricity prices in which simulated and forecasted prices are consistent with currently observed forward prices. Additionally, the model is able to reproduce spikes and negative prices. We distinguish between a base regime as well as upper and...

Using a binomial probability distribution model this paper creates an endurance index of oil service investor sentiment. The index reflects the probability of the high or low stock price being the close price for the PHLX Oil Service Sector Index. Results of this study reveal the substantial...