0000000000724300

AUTHOR

Claudiu Ilie Opreana

showing 2 related works from this author

Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models

2013

This paper aims to analyse the market risk (estimated by Value-at-Risk) on the Romanian capital market using modern econometric tools to estimate volatility, such as EWMA, GARCH models. In this respect, I want to identify the most appropriate volatility forecasting model to estimate the Value-at-Risk (VaR) of a portofolio of representative indices (BET, BET-FI and RASDAQ-C). VaR depends on the volatility, time horizon and confidence interval for the continuous returns under analysis. Volatility tends to happen in clusters. The assumption that volatility remains constant at all times can be fatal. It is determined that the most recent data have asserted more influence on future volatility th…

Value-at-Risk volatility forecasting EWMA GARCH models autocorrelationautocorrelationValue-at-Riskvolatility forecastinglcsh:Financelcsh:HG1-9999GARCH modelsEWMAExpert Journal of Finance
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TESTING THE HYPOTHESIS OF AN EFFICIENT MARKET IN TERMS OF INFORMATION – THE CASE OF THE CAPITAL MARKET IN ROMANIA DURING RECESSION

2010

This paper is trying to test the hypothesis of efficient market (EMH Efficient Market Hypothesis), the case of capital market in Romania during the economic financial crisis. According to the purpose in view our research is aiming at testing the hypothesis of random walk of stock exchange indexes BET, BET-C, BET_FI of Bucharest Stock Exchange. In this respect we will enforce statistic tests to see if the capital market in Romania is efficient in a weak form during this period.

efficient capital market random walk stationary tests normal distributionStudies in Business and Economics
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