Doctoratul: O cariera atractiva in cercetare

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biletul zilei

Dezsi Eva

Date identificare
evadezsi
Dezsi Eva
UBB
Studii
 
Perioada: 2008-2010
Institutia de invatamant: Facultatea de Ştiinţe Economice şi Gestiunea Afacerilor, Universitatea “Babeş - Bolyai”
Specializarea: Bănci şi Pieţe de Capital -linia Inginerie Financiară
Titlul obtinut la absolvire: Nivel Masterat
Perioada: 2005-2008
Institutia de invatamant: Facultatea de Ştiinţe Economice şi Gestiunea Afacerilor, Universitatea “Babeş - Bolyai”
Specializarea: Finanţe -Bănci
Titlul obtinut la absolvire: Nivel Licenţă
Perioada: 2001-2005
Institutia de invatamant: Liceul Teoretic “Bathory Istvan” Cluj-Napoca,
Specializarea: Matematică-Informatică
Titlul obtinut la absolvire:
Finante
Integrarea piețelor bursiere în contextul globalizării

 

Prof. Univ. Dr. Trenca Ioan
0264418655 int. 5855
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Articole prezentate
Perioada desfasurarii: 2011
Denumire conferinta: 18th International Economic Conference - IECS 2011 „CRISES AFTER THE CRISIS. INQUIRIES FROM A NATIONAL, EUROPEAN AND GLOBAL PERSPECTIVE
Institutia organizatoare: Lucian Blaga University Sibiu, Faculty of Economic Scienses
Titlu articol prezentat: BASEL III: COUNTERCYCLICAL CAPITAL BUFFER PROPOSAL- THE CASE OF ROMANIA
Coautor(i): TRENCA Ioan, DEZSI Eva2 PETRIA Nicolae
Cuvinte cheie: Basel III., Countercyclical capital buffer, Credit-to-GDP guide, Buffer add-on, procyclicality
Abstract: The Basel III. framework represents a critical step in the process of enhancing the capital rules by which banks are required to operate. One of the macroprudential element contains the Countercyclical capital buffer, where the primary objective is to use a capital buffer to achieve the goal of protecting the banking sector from periods of excess aggregate credit growth that have been associated with the build up of system-wide risk. The aim of this paper is to highlight the key breakthroughs in Basel III and present the Credit-to-GDP guide, with practical aplication in the case of Romania.
Format electronic: Conf_Int_1_lucrare
Dovezi privind participarea: Conf_Int_1_program
Perioada desfasurarii: 2011
Denumire conferinta: 7th Edition of the International Conference European Integration - New Challenges
Institutia organizatoare: Jean Monnet" European Modules, AFER, AGER, EDCO,CCCDD
Titlu articol prezentat: Exchange-Rates Forecasting: Exponential Smoothing Techniques And Arima Models
Coautor(i): Fat Codruta Maria, Dezsi Eva
Cuvinte cheie: Forecasting, Simple Exponential Smoothing, Double Exponential Smoothing, Holt- Winters Additive, Holt-Winters Multiplicative
Abstract: Exchange rates forecasting is, and has been a challenging task in finance. Statistical and
econometrical models are widely used in analysis and forecasting of foreign exchange rates. This
paper investigates the behavior of daily exchange rates of the Romanian Leu against the Euro,
United States Dollar, British Pound, Japanese Yen, Chinese Renminbi and the Russian Ruble.
Smoothing techniques are generated and compared with each other. These models include the
Simple Exponential Smoothing technique, as the Double Exponential Smoothing technique, the
Simple Holt-Winters, the Additive Holt-Winters, namely the Autoregressive Integrated Moving
Average model
Format electronic: Conf_Int_2_lucrare
Dovezi privind participarea: Conf_Int_2_-program
Perioada desfasurarii: 2011
Denumire conferinta: CDE - Conferinta internatională a Scolii Doctorale de Economie, 24-25 Iunie Iaşi
Institutia organizatoare: Universitatea „Al. I. Cuza” Iaşi, prin Facultatea de Economie şi Administrarea Afacerilor
Titlu articol prezentat: Evaluarea Cointegrării Pieţelor Bursiere şi Diversificarea Internaţională a Portofoliului de Titluri
Coautor(i): Trenca Ioan, Dezsi Eva
Cuvinte cheie: International portfolio diversification , correlations, cointegration
Abstract: International portfolio diversification can lead, if the different markets are not correlated, to efficient
asset allocation and reduce risk. The level of interaction or independence between markets has an important
impact of the investments, in means of risk and return. But, if these markets are integrated, this will have an
immediate effect on them. This paper examines the diversification benefits between the most representative stock
exchanges in the world. Unconditional correlation are first employed; the next step in the analysis is to test each
index series for the presence of unit roots, which shows whether the series are nonstationary. Once the
stationarity requirements are met the Granger, Johansen and Pedroni tests are used to determine whether the time series are cointegrated, finally internationally diversified portfolios are computed
Format electronic: Conf_Int_3_lucrare
Dovezi privind participarea: Conf_Int_3_Program
Perioada desfasurarii: 2011
Denumire conferinta: CDE - Conferinta internatională a Scolii Doctorale de Economie, 24-25 Iunie Iaşi
Institutia organizatoare: Universitatea „Al. I. Cuza” Iaşi, prin Facultatea de Economie şi Administrarea Afacerilor
Titlu articol prezentat: MANAGEMENTUL RISCULUI DE PIAŢĂ ÎN BĂNCIUTILIZAREA MODELELOR ECONOMETRICE
Coautor(i): Mihail-Ioan COCIUBA, Simona MUTU, Eva DEZSI
Cuvinte cheie: Value at Risk, evolution of volatility, time varying volatility, exchange rate, foreign exchange risk, GARCH models
Abstract: Abstract: We analyze the return of exchange rate in order to test and analyze the best models
which are capable of forecasting accurately there evolution. We apply the GARCH family
models on the exchange rate return in order to obtain the best models for there volatility. The
GARCH model allows for lags in the autoregressive term and in the variance term
incorporates lags of the previous variance and also for the errors. The GARCH family has
expanded in the last years in order to incorporate for asymmetry (Threshold GARCH,
TGARCH) and risk (GARCH -in Mean).We analyze the evolution of exchange rate for:
Euro/RON, dollar/RON, yen/RON, British pound/RON, Swiss franc/RON for a period of five
years from 2005 till 2011, we observe that in the analyzed period there are 2 sub-periods:
2005-2007 in which the RON appreciated constantly, and 2007-2011 in which the trend is
depreciation for RON in respect to all the five currencies and the volatility was sensible
higher than in the previous period. Using the GARCH, TGARCH and GARCH-in Mean
models, we explicit the evolution of volatility throw this period, choosing the best model
using the following : minimizing the value of the sum of squared errors, Akaike and
Bayesian Information Criterion.
Format electronic: Conf_Int_4_lucrare
Dovezi privind participarea: Conf_Int_4_Program
Perioada desfasurarii: 2011
Denumire conferinta: Annual International Conference -GEBA 2011- Globalization and Higher Education in Economics and Business Administration
Institutia organizatoare: ALEXANDRU IOAN CUZA UNIVERSITY OF IASI FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION
Titlu articol prezentat: MODELS USED IN ASSET LIABILITIES MANAGEMENT IN BANKS – THEORETICAL APPROACH
Coautor(i): Ioan Trenca, Mihail Ioan Cociuba, Eva DEZSI
Cuvinte cheie: Bank management, asset liabilities management, profitability, linear model, stochastic model
Abstract: The economic crisis has shown that financial institutions and especially banks aren't well
prepared to face sudden price shifts and there portfolio wasn't sound enough to resist in face
of volatility rise on stock and over the counter markets, the main causes of bank failures
where insolvency and liquidity problems. The main goal of asset-liability management in
banking is to adequate the risk banks are facing with returns so is a useful tool in the current
markets conditions. We present the purpose of asset-liability management and the most used
models: single-period static models, multi-period static models, single-period stochastic
modelss, multi-period stochastic models.
Format electronic: Conf_Int_5_lucrare
Dovezi privind participarea: Conf_Int_5_program
Perioada desfasurarii: 2011
Denumire conferinta: Annual International Conference -GEBA 2011- Globalization and Higher Education in Economics and Business Administration
Institutia organizatoare: ALEXANDRU IOAN CUZA UNIVERSITY OF IASI FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION
Titlu articol prezentat: MODELLING THE FOREIGN EXGHANGE RISK IN THE ROMANIAN BANKING SYSTEM
Coautor(i): Eva Dezsi, Simona Mutu,Mihail Ioan COCIUBA
Cuvinte cheie: Value at Risk, time varying volatility, foreign exchange risk, Extreme Value Theory, EWMA models
Abstract: Taking into account that one of the most important factors which have caused the
financial crisis was the bad risk management practices in banks we want to confirm
the need to develop more efficient risk management practices. The fact that banks’
portfolio return distributions are characterized by time varying volatility poses some
challenges in the estimation, especially in the period of severe financial crisis. In
order to remedy this problem we propose the Extreme Value Theory as an
alternative to Historical Simulation and EWMA models in calculating Value at Risk
for quantifying the banks’ exposures to foreign exchange risk.
Format electronic: Conf_Int_6_lucrare
Dovezi privind participarea: Conf_Int_6_program
Perioada desfasurarii: 2012
Denumire conferinta: Emerging Markets Queries in Finance and Business - Conferinta indexata ISI Proceedings, Procedia Economics and Finance
Institutia organizatoare: Universitatea Petru Maior Tg Mures
Titlu articol prezentat: A Factor Analysis Approach of International Portfolio Diversification: Does it Pay Off?
Coautor(i): Fat Codruta Maria, Dezsi Eva
Cuvinte cheie: nternational Portfolio Diversification; Principal Component analysis, Factor analysis; Stock market Integration.
Abstract: One of the most intriguing and debated issues in portfolio theory are the interrelationships between stock markets and the real effects of these to international portfolio diversification. As markets become more integrated the co-movements between markets tend to rise, undermining the benefits of international portfolio diversification. Our paper proposes to study the changes in the linkages between stock markets returns from 12 countries with a factor analysis approach between September 1997 and May, 2012, emphasizing the Eastern European markets. The Principal Component Analysis (PCA) and the Maximum Likelihood (ML) methods are used to study the patterns underlying the stock market relationships.
Format electronic: Conf_Int_ISIProceedings_lucrare
Dovezi privind participarea: Conf_Int_ISIProceedings_program
Perioada desfasurarii: 2012
Denumire conferinta: Globalization and Higher Education in Economics and Business Administration (GEBA 2012)
Institutia organizatoare: Alexandru Ioan Cuza University of Iasi Faculty of Economics and Business Administration
Titlu articol prezentat: Contagion between the European Markets - Myth or Reality?
Coautor(i): Ioan Trenca, Eva Dezsi, Mihai Cociuba
Cuvinte cheie: Contagion, Structural Breaks, MS-VAR
Abstract: This study investigates the contagion effect during recent financial crisis between the mature markets of France, Germany, Netherlands and Austria, and that of two emerging markets from Eastern Europe, namely Hungary, Romania. We find a break in the correlation structure, after the shock the markets became more closely linked, which suggest contagion from one market to another.
Format electronic: Conf_Int_2_lucrare
Dovezi privind participarea: Conf_Int_2_program
Perioada desfasurarii: 2012
Denumire conferinta: Globalization and Higher Education in Economics and Business Administration (GEBA 2012)
Institutia organizatoare: Alexandru Ioan Cuza University of Iasi Faculty of Economics and Business Administration
Titlu articol prezentat: Volatility Analysis of the Overnight Interest rates in Romania, Hungary and the Euro Zone
Coautor(i): Mihai Cociuba, Simona Mutu, Eva Dezsi
Cuvinte cheie: interest rates, volatility, euribor, GARCH model
Abstract: In this paper we analyze the evolution of overnight interest rates in Romania, Hungary and the Euro zone in order to test and analyze the best models which are capable of forecasting accurately there evolution. We apply the GARCH family models on the interest rate return in order to obtain the best models for there volatility. The GARCH model allows for lags in the autoregressive term and in the variance term, so it can incorporates the informations from the previous variance and errors. The series exhibit asymmetry and leptokurtic and for the analyzed period 2005-2011 the mean of the return on interest rates are negative for all the series. We test the series for normality, stationarity and heteroskedasticity, we observe that the series are leptokurtik, skewed and manifest heteroskedasticity and we apply a GARCH model with the errors following a normal distribution.
Format electronic: Conf_Int_3_lucrare
Dovezi privind participarea: Conf_Int_3_program
Perioada desfasurarii: 2013
Denumire conferinta: 20th International Economic Conference – IECS 2013 "POST CRISIS ECONOMY: CHALLENGES AND OPPORTUNITIES "
Institutia organizatoare: "Lucian Blaga" University of Sibiu, Romania Faculty of Economic Sciences and Economic Sciences Faculties Association of Romania – AFER
Titlu articol prezentat: Linkages between the stock markets of Eastern Europe
Coautor(i): Trenca Ioan, Petria Nicolae, Dezsi Eva
Cuvinte cheie: CCC model, Market Linkages, Time varying correlations, Contagion
Abstract: This paper studies the relationship patterns between six Eastern European stock market: Czech Republic, Greece, Republic of Croatia, Hungary, Poland and Romania from 1997 until 2012. We employed a Constant Conditional Correlation model, and our results suggests that these linkages are highly volatile around the 97’ and 07’ crises. So in financial distress the markets become highly dependent, but overall they show signs only of mild interdependence. These results suggests that on the Eastern European markets contagion transmission is present, but also that these markets are not yet integrated.
Format electronic: Conf_Int_4_lucrare
Dovezi privind participarea: Conf_Int_4_program
Perioada desfasurarii: 2013
Denumire conferinta: International Conference 'European Integration- New Challenges' 9th Edition
Institutia organizatoare: University of Oradea, Faculty of Economic Sciences,Oradea
Titlu articol prezentat: AN INQUIRY INTO CONTAGION TRANSMISSION AND SPILLOVER EFFECTS IN STOCK MARKETS
Coautor(i): Trenca Ioan, Petria Nicolae, Dezsi Eva
Cuvinte cheie: Contagion, Spillover Effects, Interdependence, Transmission mechanism, Stock markets
Abstract: This paper represents a theoretical enquiry in contagion and its transmission mechanism. Our main purpose in to present the different views regarding contagion as a mechanism, correlated with interdependence, a state of markets. We present numerous theories about the definition and the transmission of shocks. But As Rigobon (2002) states, the main problem of the theoretical literature of contagion is that the measurable events are more rare that the number of possible hypothesis. So the only aspect on which everybody agrees is that there is no unanimously accepted interpretation of contagion. The channels of contagion, according to our reasoning and based on the directions pointed out by theoretical literature, can be divided into channels which act in interdependent markets, and channels which can be attributed to investors behavior. In this case the cause of propagating the shock becomes the criterion upon which the transmissions of channels are classified. In this paper we present these channels together with their characteristics.
Format electronic: Conf_Int_5_lucrare
Dovezi privind participarea: Conf_Int_5_program
Perioada desfasurarii: 2013
Denumire conferinta: Doctoral Workshop: Academic Writing Techniques Used in Economic Research”
Institutia organizatoare: Faculty of Economics and Business Administration, Babes-Bolyai University
Titlu articol prezentat: CONNECTIONS BETWEEN THE EUROPEAN STOCK MARKETS
Coautor(i): Trenca Ioan, Dezsi Eva
Cuvinte cheie: Interdependence, Contagion, Spillover effects, CCC, DCC, BEKK.
Abstract: This paper analyzes the linkages between the European stock markets. We studied 22 emerging and developed stock markets from 2001 until 2012. In order to analyze the existing connections several multivariate GARCH model were employed, namely the CCC, DCC and BEKK models. We investigate interdependence, integration, contagion and spillover effects as possible linkages between markets. Our results suggests that the developed markets are integrated, with no contagion effect in the correlation structure, only spillover effects in the variance and covariance equations. Regarding the emerging markets, they are characterized by a medium degree of dependence, but with detectable contagion effects. A few markets, from Latvia, Lithuania and Bulgaria show low to no dependence to other European stock markets in periods of financial tranquillity. In these three markets contagion and spillover effects are both distinguishable. In fact, in all the markets we find contagion and spillover effects during the Sub-prime Financial Crisis, which suggest that even if they are not integrated or bound by strong dependence, the direct linkages still transport the shocks. The results do not suggest that the markets are headed towards integrations, instead after the shock, they return to their average level of dependence.
Format electronic: Sem_Nat_1_lucrare
Dovezi privind participarea: Sem_Nat_1_program
Perioada desfasurarii: 2013
Denumire conferinta: A TREIA SESIUNE NAȚIONALĂ DE COMUNICĂRI ȘTIINȚIFICE A DOCTORANZILOR
Institutia organizatoare: Universitatea de Vest Timisoara
Titlu articol prezentat: CONEXIUNILE DINTRE PIAȚA BURSIERĂ ROMÂNEASCĂ ȘI PIEȚELE BURSIERE GLOBALE
Coautor(i): Dezsi Eva
Cuvinte cheie: Stock market connections, Conditional correlation coefficients, interdependence, Integration, Contagion
Abstract: This paper analyzes the relationship between Romania and the major stock market groups in the world. In order to analyze the existing connections, several multivariate GARCH model were employed, namely the CCC, DCC, ADCC, BEKK, RCC and RARCH models. We investigate interdependence, integration, contagion and spillover effects as possible linkages between markets. Our results suggests that the Romanian market is not yet integrated with the other markets, showing no to little dependence. In all the markets we identify spillover and contagion effects
Format electronic: Dezsi_2013
Dovezi privind participarea: ProgramEconomics
Perioada desfasurarii: 2013
Denumire conferinta: Conferinţă Internaţională în Științe Economice Locaţia: Universitatea Ştefan cel Mare din Suceava
Institutia organizatoare: Universitatea Ştefan cel Mare din Suceava
Titlu articol prezentat: Diversificarea internaţională a portofoliului privită din perspectiva coeficienţilor de corelaţie condiţionaţi
Coautor(i): Dezsi Eva
Cuvinte cheie: Stock market connections; International portfolio diversification; DCC
Abstract: This paper analyzes the optimization of efficient portfolios with the introduction of conditional correlation coefficients. International portfolio diversification between fifteen stock markets is employed, with daily correlation matrix obtained from the DCC multivariate GARCH model. We investigate interdependence, integration, contagion and spillover effects as possible linkages between markets, and we observed these effects on the efficient portfolios.
Format electronic: Dezsi_2013
Dovezi privind participarea: AGENDA_CONFERINTA_ST_EC_77946
Articole publicate
Revista/Volum: FINANTE - Provocarile viitorului (Finance - Challenges of the Future), ISSN 1583-3712, Vol. 1, No.12
Anul publicarii: 2010
Indexare BDI: BDI
Titlu articol: The integration of capital markets: correlation analysis
Coautori: Trenca Ioan, Dezsi Eva
Cuvinte cheie: Stock market integration, Cointegration tests
Abstract: The relationship between the world's most representative capital markets was analyzed in this study. As we can see, the presence of cointegrating relationships has important implications for active portfolio management, in the long-run market comovements imply that the potential for attaining superior portfolios may be limited. International portfolio diversification is less effective across the cointegrated markets because the investment risk cannot be reduced and portfolio returns can exhibit a volatile behavior to internal or external shocks. Johansen and Pedroni tests were applied. Both identified those markets which, in the long run, are definitively not linked. This test detected that the markets in Europe with Asia, or the emerging markets in Europe with those in USA, are not sharing a common path in the long term. This means that even they, in the short term, follow a similar path, in the long one an investment strategy may be based on them. In the other markets international portfolio diversification is not efficient because the size of the risk can’t be reduced under the condition in which the markets respond almost immediately to international shocks.
Format electronic: L1_BDI_articol
Dovezi privind publicarea: dovada_l1
Revista/Volum: Revista Economica ISSN 1582-6260, Voll. 6 (59), No. II (2011), pp. 352-362.
Anul publicarii: 2011
Indexare BDI: BDI
Titlu articol: Basel III: Countercyclical Capital Buffer Proposal - The Case of Romania
Coautori: Trenca Ioan, Dezsi Eva, Petria Nicolae
Cuvinte cheie: Basel III., Countercyclical capital buffer, Credit-to-GDP guide, Buffer add-on, procyclicality.
Abstract: Abstract: The Basel III. framework represents a critical step in the process of enhancing the capital rules by which banks are required to operate. One of the macroprudential element contains the Countercyclical capital buffer, where the primary objective is to use a capital buffer to achieve the goal of protecting the banking sector from periods of excess aggregate credit growth that have been associated with the build up of system-wide risk. The aim of this paper is to highlight the key breakthroughs in Basel III and present the Credit-to-GDP guide, with practical aplication in the case of Romania.
Format electronic: L2_BDI_articol
Dovezi privind publicarea: dovada_l2
Revista/Volum: Analele Universitatii din Oradea Stiinte Economice,ISSN 1582-5450/ 1222-569, Vol.1/1, pp.499-508.
Anul publicarii: 2011
Indexare BDI: BDI
Titlu articol: EXCHANGE-RATES FORECASTING: EXPONENTIAL SMOOTHING TECHNIQUES AND ARIMA MODELS
Coautori: FĂT Codruța Maria, DEZSI Eva
Cuvinte cheie: Forecasting, Simple Exponential Smoothing, Double Exponential Smoothing, Holt- Winters Additive, Holt-Winters Multiplicative
Abstract: Exchange rates forecasting is, and has been a challenging task in finance. Statistical and
econometrical models are widely used in analysis and forecasting of foreign exchange rates. This
paper investigates the behavior of daily exchange rates of the Romanian Leu against the Euro,
United States Dollar, British Pound, Japanese Yen, Chinese Renminbi and the Russian Ruble.
Smoothing techniques are generated and compared with each other. These models include the
Simple Exponential Smoothing technique, as the Double Exponential Smoothing technique, the
Simple Holt-Winters, the Additive Holt-Winters, namely the Autoregressive Integrated Moving
Average model.
Format electronic: L3_BDI_articol
Dovezi privind publicarea: dovada_l3
Revista/Volum: FINANTE-Provocarile viitorului(Finance-Challenges of the Future),ISSN 1583-3712, Vol1,Nr13,pp181-187
Anul publicarii: 2011
Indexare BDI: BDI
Titlu articol: Fiscal policy impact on inflation volatility in Romania in the economic crisis context
Coautori: Eugenia Ramona Mara, Dezsi Eva
Cuvinte cheie: Fiscal policy, VAR models, Inflation
Abstract: This study presents aspects regarding fiscal policy in Romania following some variables like the share of public expenditures in GDP and the share of public revenues in GDP –used as a proxy for global tax burden. In order to determine the relationship between the real inflation volatility and the expected inflation volatility in the Romanian economy, we employed a Vector Autoregression model. To determine the expected inflation volatility a GARCH (p, q) model is employed. One limitation of our analysis is that our sample includes only a limited number of observations. The concusions indicate that for a long time increasing the tax burden and increasing VAT it is not a good solution, because al this measures have a powerful impact on inflation. A limited budget deficit can be a good measure for maintaining an acceptable level of inflation. We hope that after Romania will pass the economic crisis effects that VAT rate will drop and the fiscal policy will be oriented to better measures for reducing the budget deficit and the public debt.
Format electronic: L4_BDI_articol
Dovezi privind publicarea: dovada_l4
Revista/Volum: FINANTE-Provocarile viitorului(Finance-Challenges of the Future),ISSN 1583-3712, Vol1,Nr13,pp. 33-43
Anul publicarii: 2011
Indexare BDI: BDI
Titlu articol: Advantages and limitations of VAR models used in managing market risk in banks
Coautori: Ioan Trenca, Simona Mutu, Dezsi Eva
Cuvinte cheie: Value-at-Risk, Parametric models, Non-parametric models.
Abstract: Value at Risk (VaR) is a statistical method for measuring the risk of a portfolio, so the potential maximum expected loss of the portfolio is represented for a given time horizon and a predefined confidence level. Implementing the VaR model is currently considered a goal of risk management , until now Basel II. offered banks the opportunity to design their own internal models to estimate risk, currently, Basel III requires that the models used by banks enhance the quality and quantity of capital of banks. Despite its limits, VaR is one of the most popular methods used to measure and prevent the manifestation of market risks. In an attempt to capture this risk, we used non-parametric models, based on simulation to calculate VaR, but also parametric models, with theire advantages and disadvantages, but also models for calculating the volatility and correlations. In order to implement a successful VAR estimation, the accuracy of this depends on the portfolio return distribution. Although the normal distribution is the easiest to use in practice, it may lead to an underestimation of the risk and capital allocation, because in the reality the data series have elongated tails corresponding to extreme market movements. It is appropriate to identify specific Value at Risk models for each portfolio, but we must never forget that each of these models has its own advantages and disadvantages, that relate to the probable maximum loss to a certain degree of confidence.
Format electronic: L5_BDI_articol
Dovezi privind publicarea: dovada_l5
Revista/Volum: FINANTE - Provocarile viitorului (Finance - Challenges of the Future)
Anul publicarii: 2012
Indexare BDI: BDI
Titlu articol: Financial contagion on the Romanian stock market
Coautori: Trenca Ioan, Dezsi Eva
Cuvinte cheie: Financial contagion, 3 states MS-VAR,world market
Abstract: This paper tries to examine the behaviour of the Romanian stock market from the point of view of financial contagion from the global world market. For realizing this study our analysis is based on 3 states MS-VAR model from 1997 to 2012, and our results suggest that no real contagion effect can be identified on the Romanian market during the financial crisis, only comovement due to integrated markets. The linkage between the Romanian and the world market is time-varying, from no dependence in can evolve towards a durable relationship in times of medium and high volatility. Even if the Romanian stock market is only mildly integrated with the world market, this level is enough to erase the benefits of international portfolio diversification
Format electronic: L1_BDI_ articol
Dovezi privind publicarea: L1_Dovada
Revista/Volum: In curs de publicare
Anul publicarii: 2013
Indexare BDI: BDI
Titlu articol: Linkages between the stock markets of Eastern Europe
Coautori: Trenca Ioan, Petria Nicolae, Dezsi Eva
Cuvinte cheie: CCC model, Market Linkages, Time varying correlations, Contagion
Abstract: This paper studies the relationship patterns between six Eastern European stock market: Czech Republic, Greece, Republic of Croatia, Hungary, Poland and Romania from 1997 until 2012. We employed a Constant Conditional Correlation model, and our results suggests that these linkages are highly volatile around the 97’ and 07’ crises. So in financial distress the markets become highly dependent, but overall they show signs only of mild interdependence. These results suggests that on the Eastern European markets contagion transmission is present, but also that these markets are not yet integrated.
Format electronic: L2_BDI_articol
Dovezi privind publicarea: Dovezi privind publicarea
Revista/Volum: In curs de publicare
Anul publicarii: 2013
Indexare BDI: BDI
Titlu articol: AN INQUIRY INTO CONTAGION TRANSMISSION AND SPILLOVER EFFECTS IN STOCK MARKETS
Coautori: Trenca Ioan, Petria Nicolae, Dezsi Eva
Cuvinte cheie: Contagion, Spillover Effects, Interdependence, Transmission mechanism, Stock markets
Abstract: This paper represents a theoretical enquiry in contagion and its transmission mechanism. Our main purpose in to present the different views regarding contagion as a mechanism, correlated with interdependence, a state of markets. We present numerous theories about the definition and the transmission of shocks. But As Rigobon (2002) states, the main problem of the theoretical literature of contagion is that the measurable events are more rare that the number of possible hypothesis. So the only aspect on which everybody agrees is that there is no unanimously accepted interpretation of contagion. The channels of contagion, according to our reasoning and based on the directions pointed out by theoretical literature, can be divided into channels which act in interdependent markets, and channels which can be attributed to investors behavior. In this case the cause of propagating the shock becomes the criterion upon which the transmissions of channels are classified. In this paper we present these channels together with their characteristics.
Format electronic: L3_BDI_articol
Dovezi privind publicarea: Dovezi privind publicarea
Revista/Volum: In curs de publicare
Anul publicarii: 2013
Indexare BDI: BDI
Titlu articol: CONNECTIONS BETWEEN THE EUROPEAN STOCK MARKETS
Coautori: Trenca Ioan, Dezsi Eva
Cuvinte cheie: Interdependence, Contagion, Spillover effects, CCC, DCC, BEKK
Abstract: This paper studies the relationship patterns between six Eastern European stock market: Czech Republic, Greece, Republic of Croatia, Hungary, Poland and Romania from 1997 until 2012. We employed a Constant Conditional Correlation model, and our results suggests that these linkages are highly volatile around the 97’ and 07’ crises. So in financial distress the markets become highly dependent, but overall they show signs only of mild interdependence. These results suggests that on the Eastern European markets contagion transmission is present, but also that these markets are not yet integrated.
Format electronic: L1_BDI_articol
Dovezi privind publicarea: Dovezi privind publicarea
Mobilitati
Institutia primitoare:
Perioada:
De la:
Pana la:
Institutia primitoare: Universita Degli Studi Di Padova
Perioada:
De la: 01.02.2012
Pana la: 31.07.2012

2013-12-14 00:00:00
Ultima actualizare în Sâmbătă, 14 Decembrie 2013 02:00  

Notificare

Pentru informaţii detaliate despre celelalte programe cofinanţate de Uniunea Europeană, vă invităm să vizitaţi:
www.fonduri-ue.ro

Conţinutul acestui material nu reprezintă în mod obligatoriu poziţia oficială a Uniunii Europene sau a Guvernului României.

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