Econometric Models for the Analysis of Financial Portfolios

Gabriela Victoria Anghelache, Constantin Anghelache and Zoica DINCA (nicola)
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Gabriela Victoria Anghelache: Academy of Economic Studies Bucharest
Constantin Anghelache: „Artifex” University of Bucharest/Academy of Economic Studies Bucharest
Zoica DINCA (nicola): „Artifex” University of Bucharest/Academy of Economic Studies Bucharest

Romanian Statistical Review Supplement, 2013, vol. 61, issue 3, 92-101

Abstract: Using a factorial design for explaining the rentabilitãþilor allows to reduce the volume of such calculations as long as the number of factors is less than the number of assets. Under these circumstances, rather than to introduce wording ARCH directly into rentabilitãþilor, estimate it will bring in the estimation of their determinants, once they have been identified. In this article we examined the evolution of the return on the portfolio consisting of the ten titles listed on the Bucharest Stock Exchange with Forecast and it emerged that in the following period, the return on the portfolio considered will be relatively low, no one anticipated the major developments of this indicator.

Keywords: econometric models; stock exchange; portfolio of financial assets (search for similar items in EconPapers)
Date: 2013
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