Theoretical and Applied Economics
No. 7 / 2012 (572)
Estimating the probability of stock market crashes for Bucharest Stock Exchange using stable distributions
Daniel Traian PELE
Bucharest Academy of Economic Studies
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.
Keywords: stable distribution; financial crisis; stock market.
Download the full article: 
Contents
Marin Dinu
- Estimating the probability of stock market crashes
for Bucharest Stock Exchange
using stable distributions
Daniel Traian PELE
- Analysis of the Romanian employment rate.
A panel data approach
Larisa APARASCHIVEI
- A regional analysis of the effects generated
by the economic crisis and its impact
on the outstanding loan portfolio in Romania
Alina BRĂTUCU (LUCA)
Ioana BÎLBÎE
- The amortization of fixed assets
in terms of deferred taxes
Mihaela TULVINSCHI
- Impact of the economic crisis on human resources
development in Greek health system
Dimitrios KANELLOPOULOS
- Economics and “underground” economy theory
Cristina VOICU
- Entrepreneurial behaviour consequences
on small and medium-sized firms’ innovation
Renata Antonie NIŢU
Emőke-Szidónia FEDER
- Globalization – tourism – communication,
competitiveness triangle on the market
affected by the economic crisis
Ionel Gabriel HOCIUNG
Laurenţiu Gabriel FRÂNCU
- New approaches to business cycle theory
in current economic science
Monica DOBRESCU
Claudia Elena PAICU
