Econometric Models for the Analysis of Financial Portfolios
Journal Title: Revista Romana de Statistica - Year 2013, Vol 61, Issue 3
Abstract
Using a factorial design for explaining the rentabilităţilor 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 rentabilităţilor, 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.
Authors and Affiliations
Gabriela Victoria ANGHELACHE, Constantin ANGHELACHE, Zoica DINCĂ (NICOLA)
Keywords
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