Theoretical and Applied Economics
No. 7 / 2012 (572)
Estimating the probability of stock market crashes for Bucharest Stock Exchange using stable distributions
Bucharest Academy of Economic Studies
Abstract. In this study we analyse the evolution of BET Bucharest Stock Exchange through an AR-GARCH model and we estimate the likelihood of extreme events using stable distributions.
Using the time series of the Bucharest Stock Exchange main index BET we argue that stable distributions can significantly improve the prediction of an extreme event.
Contents
Estimating the probability of stock market crashes for Bucharest Stock Exchange using stable distributions
Analysis of the Romanian employment rate. A panel data approach
Consumer characteristics influencing milk consumption preference. The Turkey case
A regional analysis of the effects generated by the economic crisis and its impact on the outstanding loan portfolio in Romania
The amortization of fixed assets in terms of deferred taxes
Impact of the economic crisis on human resources development in Greek health system
Economics and “underground” economy theory
Entrepreneurial behaviour consequences on small and medium-sized firms’ innovation
The role of tender offer in FDI selection. Study case: Romania
Characteristics and drivers of venture capital investment activity in Romania
Globalization – tourism – communication, competitiveness triangle on the market affected by the economic crisis
New approaches to business cycle theory in current economic science