finsys.rau.ro

Blue Flower

Project Results

Project "PN-II-ID-PCE-2011-3-1054 - Uncertainty, Complexity and Financial Stability"

 

 

1. BOOKS and BOOK CHAPTERS

1. Alt?r, M., Necula, C., Bobeic?, G., (2013), “Fiscal Policy and Economic Growth in Central And Eastern European Countries”, in Socol C. (ed), Emerging Macroeconomics. Case studies - Central and Eastern Europe, Nova Science Publishers Inc., New York, 2013, pp 1-16 (Chapter 1), ISBN 978-162-25-7354-7
https://www.novapublishers.com/catalog/product_info.php?products_id=36468

2. Necula, C., Radu, A-N., (2013), “The Dependency Structure of Stock Market Returns in Central and Eastern European Countries”, in Socol C. (ed), Emerging Macroeconomics. Case studies - Central and Eastern Europe, Nova Science Publishers Inc., New York, 2013, pp 33-56 (Chapter 3), ISBN 978-162-25-7354-7
https://www.novapublishers.com/catalog/product_info.php?products_id=36468

3. Anghelache, G-V., Radu, A-N., (2013), “Portfolio Selection Under Downside Risk Constraints in Central and Eastern European Emerging Markets” in Socol C. (ed.), Emerging Macroeconomics. Case studies - Central and Eastern Europe, Nova Science Publishers Inc., New York, 2013, pp 57-80 (Chapter 4), ISBN 978-162-25-7354-7
https://www.novapublishers.com/catalog/product_info.php?products_id=36468

4. Hasan, I., Altar, M. (eds.), ”Financial Markets and Business Cycles: Uncertainty And Complexity”, Editura PRO UNIVERSITARIA, Bucuresti, 2015, ISBN: 978-606-26-0478-3

5. Hasan, I., Altar, M. (eds.),”Systemic Risk and Sustainable Growth”, Editura PRO UNIVERSITARIA, Bucuresti, 2014, ISBN: 978-606-26-0165-2 

6. Hasan, I., Altar, M. (eds.), ”Financial Stability”, Editura PRO UNIVERSITARIA, Bucuresti, 2013, ISBN: 978-606-647-830-4

7. Hasan, I.  Karlberg, J.G., Liu, C. H., Sun X., (2014), ”Mergers and Target Transparency”, în Ferris, S.P., John, K., Makhija, A. K. (ed.), ”Corporate Governance in the US and Global Settings (Advances in Financial Economics, Volume 17), Emerald Group Publishing Limited, pp.193 – 227, ISBN: 978-1-78441-292-0                                 http://www.emeraldinsight.com/doi/epub/10.1108/S1569-373220140000017001

 

2. ARTICLES PUBLISHED IN SCIENTIFIC JOURNALS

1. Sima-Grigore, A., Sima A., (2011), ”DISTANCE TO DEFAULT ESTIMATES FOR ROMANIAN LISTED COMPANIES,” The Review of Finance and Banking, Vol. 3, Issue 2, pp. 095—110 
http://www.rfb.ase.ro/articole/P3.pdf

2. Necula, C., Radu, A-N., (2012), ”QUANTIFYING THE RECAPITALIZATION FUND PREMIUM USING OPTION PRICING TECHNIQUES,” Economics Letters, Vol. 114, Issue 3, pp. 249 – 251, DOI:10.1016/j.econlet.2011.11.002
http://www.sciencedirect.coms/cience/article/pii/S0165176511004538

3. Francis, B., Hasan, I., Wu, Q., (2012), ”DO CORPORATE BOARDS MATTER DURING THE CURRENT FINANCIAL CRISIS?,” Review of Financial Economics, Vol. 21, Issue 2, pp. 39-52, DOI: 10.1016/j.rfe.2012.03.001
http://www.sciencedirect.com/science/article/pii/S1058330012000109

4. Necula, C., Radu, A-N., (2012), ”A WORLDWIDE ASSESSMENT OF BANK RESOLUTION FUND PREMIUMS,” Procedia - Social and Behavioral Sciences, Vol. 62, October 2012, pp. 1001–1005
http://www.sciencedirect.com/science/article/pii/S1877042812036117

5. Radu, R., (2012) , ”AN ESTIMATED MODEL WITH MACRO–FINANCIAL LINKAGES FOR THE ROMANIAN ECONOMY”, Metalurgia International, Vol. XVII, Issue 6, pp. 138-146
http://www.metalurgia.ro/Metalurgia_International_6_2012.pdf

6. Sima, A., (2012), ”CONCENTRATION RISK ESTIMATION UNDER THE INTERNAL CAPITAL ADEQUACY ASSESMENT PROCESS,” Metalurgia International, Vol. XVII, Issue 2, pp. 124 -126
http://www.metalurgia.ro/Metalurgia_International_2_2012.pdf

7. Grigore, A., (2012), “STRESS TEST WITH MACROECONOMIC FACTORS”, Metalurgia International, Vol. XVII, Issue 2, pp. 110-112
http://www.metalurgia.ro/Metalurgia_International_2_2012.pdf

8. Yao, Y., Yang, R., Liu, Z., Hasan I., (2013), ”GOVERNMENT INTERVENTION AND INSTITUTIONAL TRADING STRATEGY: EVIDENCE FROM A TRANSITION COUNTRY”, Global Finance Journal, Vol. 24, Issue 1, pp. 24-68, DOI: 10.1016/j.gfj.2013.03.003
http://www.sciencedirect.com/science/article/pii/S1044028313000045

9. Neagu, F., Mihai, I., (2013), ”SUDDEN STOP OF CAPITAL FLOWS AND THE CONSEQUENCES FOR THE BANKING SECTOR AND THE REAL ECONOMY”, European Central Bank Working Paper Series, Vol. 1591, pp. 1-21
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1591.pdf

10. Costeiu, A., Neagu, F., (2013), “BRIDGING THE BANKING SECTOR WITH THE REAL ECONOMY - A FINANCIAL STABILITY PERSPECTIVE”, European Central Bank Working Paper Series, Vol. 1592, pp. 1-21
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1592.pdf

11. Altar, M., Ifrim, A., Altar-Samuel,A.,N., “Eastern Europe in the World Economy: A Global VAR Analysis”, Romanian Journal of Economic Forecasting, Vol. 18, Issue 3, October 2015, pp. 5-26, ISSN 1582-6163, revista ISI
http://www.ipe.ro/rjef/rjef3_15/rjef3_2015p5-26.pdf

12. Altar, M., Cramer, A-A., Altar-Samuel, A.,N.,“Sovereign Financial Asset Market Linkages across Europe during the Eurozone Debt Crisis”, Romanian Journal of Economic Forecasting, Vol. 18, Issue 4, December 2015, pp. 29-49, ISSN 1582-6163, revista ISI
http://www.ipe.ro/rjef/rjef4_15/rjef4_2015p29-49.pdf

13. Francis, B., Guptaa, A., Hasan, I., ”Impact of compensation structure and managerial incentives on bank risk taking”, European Journal of Operational Research, Vol. 242, Issue 2, April 2015, pp. 651–676, revista ISI
http://www.sciencedirect.com/science/article/pii/S0377221714008522

14. Hasan, I., Massoudc, N., Saunders, A., Songe, K., ”Which financial stocks did short sellers target in the subprime crisis?”, Journal of Banking & Finance, Vol. 54, May 2015, pp. 87–103, revista ISI
http://www.sciencedirect.com/science/article/pii/S0378426614004026

15. Hasan, I., Siddique, A., Sun, X., ”Monitoring the ‘‘Invisible’’ Hand of Market Discipline: Capital Adequacy Revisited”, Journal of Banking & Finance, Vol. 50, January 2015, pp. 475-492, revista ISI
http://www.sciencedirect.com/science/article/pii/S0378426614001125

16. Francis, B.B., Hasan, I., Song, L., Yeung, B., ”What Determines Bank-Specific Variations in Bank Stock Returns? Global Evidence”, Journal of Financial Intermediation, Vol. 24, Issue 3, July 2015, pp. 312-324, revista ISI
http://www.sciencedirect.com/science/article/pii/S1042957314000369

17. Coculescu. C., Altar-Samuel, A.N., ”Aspects Concerning Nonlinearity in Econometric Modeling”, Journal of Information Systems & Operations Research, Vol. 9, Issue 1, May 2015, pp.  72-82, revista BDI
http://www.rebe.rau.ro/RePEc/rau/jisomg/SU15/JISOM-SU15-A7.pdf

18. Altar, M., ”Complexity, Uncertainty and Systemic Risk: A Survey”, Central Bank Journal of Law and Finance, Vol. 2, Issue 1, December 2015, pp. 3-48, ISSN 2392 – 9723, revista în curs de indexare, editata de Banca Na?ionala a României.

19. Fang, Y., Hasan, I., Marton, K., (2014), ”Institutional Development and Bank Stability: Evidence from Transition Countries”, Journal of Banking and Finance, Vol. 39, February 2014, pp. 160-176, ISSN 0378-4266, revista ISI, DOI: 10.1016/j.jbankfin.2013.11.003
http://www.sciencedirect.com/science/article/pii/S0378426613004160

20. Hasan, I., Song, L., Wachtel, P., (2014), ”Institutional Development and Stock Price Synchronicity: Evidence from China”, Journal of Comparative Economics, Vol. 42, Issue 1, February, 2014, pp. 92-108, ISSN 0147-5967, revista ISI, DOI: 10.1016/j.jce.2013.07.006
http://www.sciencedirect.com/science/article/pii/S014759671300108X

21. Fang, Y., Hasan, I., Marton, K., Waisman, M., (2014), ”Bank Valuation in New EU Member Countries”, Economic Systems, Vol. 38, Issue 1, March 2014, pp. 55–72, ISSN 093-3625 revista ISI, DOI: 10.1016/j.ecosys.2013.07.002
http://www.sciencedirect.com/science/article/pii/S0939362513000800

22. Francis, B., Hasan, I., Sun, X., Waisman, M., (2014), ”Can Firms Learn by Observing? Evidence from Cross-Border M&As”, Journal of Corporate Finance, Vol. 25, April 2014, pp. 202–215,  ISSN 0929-1199 , revista ISI, DOI: 10.1016/j.jcorpfin.2013.11.018
http://www.sciencedirect.com/science/article/pii/S0929119913001259

23. Francis, B., Hasan, I., Wang, H., (2014), ”Banking Deregulation, Consolidation, and Corporate Cash Holdings: U.S. Evidence”, Journal of Banking & Finance, Volume 41, Issue 1, April 2014, pp. 45–56, ISSN 0378-4266, revista ISI, DOI: 10.1016/j.jbankfin.2013.12.018
http://www.sciencedirect.com/science/article/pii/S0378426613004901

24. Shen, C.H., Hasan, I., Lin, C.Y., (2014), ” The Government’s Role in Government-owned Banks”, Journal of Financial Services Research, Vol. 45, Issue 3, June 2014, pp. 307-340, ISSN 0920-8550, revista ISI, DOI: 10.1007/s10693-013-0168-0
http://econpapers.repec.org/article/kapjfsres/v_3a45_3ay_3a2014_3ai_3a3_3ap_3a307-340.htm

25. Hasan, I., Hoi, C.K., Wu, Q., Zhang, H., (2014), ”Beauty Is in the Eye of the Beholder: The Effect of Corporate Tax Avoidance on the Cost of Bank Loans”, Journal of Financial Economics, Vol. 113, Issue 1, July 2014, pp. 109-130, ISSN 0304-405X, revista ISI, DOI:10.1016/j.jfineco.2014.03.004
http://www.sciencedirect.com/science/article/pii/S0304405X14000464

26. Delis, M., Hasan, I., Tsionas, E., (2014), ”The Risk of Financial Intermediaries”, Journal of Banking & Finance, Vol. 44, July 2014, pp. 1–12, ISSN 0378-4266, revista ISI, DOI:10.1016/j.jbankfin.2014.03.024
http://www.sciencedirect.com/science/article/pii/S0378426614001071

27. Delis, M., Hasan, I., Kazakis, P., (2014), ”Bank Regulations and Income Inequality: Empirical Evidence”, Review of Finance, Vol. 18, Issue 5, August 2014, pp. 1811-1846, ISSN 1572-3097, revista ISI, DOI: 10.1093/rof/rft039
http://rof.oxfordjournals.org/content/18/5/1811

28. Altar, M., Altar-Samuel, A.N., Marcu, I., ”Measuring Systemic Risk Using Contingent Claims Analysis (CCA)”, Romanian Journal of Economic Forecasting, Issue 4, December 2014, pp. 22-48, ISSN 1582-6163, revista ISI
http://www.ipe.ro/rjef/rjef4_14/rjef4_2014p22-48.pdf

 

3. ARTICLES IN PRESS

1. Necula, C., (2012), “CURRENCY OPTION PRICING IN A TWO-COUNTRY GENERAL EQUILIBRIUM MODEL WITH JUMPS”, submitted, Journal of Futures Markets

2. Sima, A., Sima-Grigore, L.A., (2012), ”DEFAULT CORRELATION ESTIMATES FOR ROMANIA”, submitted, Romanian Journal of Economic Forecasting

3. Alt?r, M., Samuel, J., Alt?r-Samuel, A.N., (2013),”SYSTEMIC RISK AND STABILITY OF FINANCIAL SYSTEM”, submitted, Romanian Journal of Economic Forecasting

4. Mititelu, B.O., (2013), ”AN ESTIMATED DSGE MODEL WITH FINANCIAL AND UNEMPLOYMENT FRICTIONS FOR THE ROMANIAN ECONOMY”, submitted, Romanian Journal of Economic Forecasting

 

4. PAPERS PRESENTED AT INTERNATIONAL CONFERENCES

 

1. Hasan, I., (2012), ”HETEROGENEITY OF CEO SOCIAL NETWORKS AND FIRM VALUE”, Keynote Speaker, 10th Infiniti Conference on International Finance - ”International Finance Towards 2020: Will The Next 10 Years Be Different ?”, Dublin, Irlanda
http://infiniticonference.files.wordpress.com/2012/09/infiniti-2012-programme-v4.pdf

2. Alt?r, M., Samuel, J., Alt?r-Samuel, A.N.,(2012) , „SOVEREIGN RISK, SYSTEMIC RISK AND FINANCIAL SYSTEM STABILITY”, 73rd International Atlantic Economic Conference, Istanbul, Turcia
https://iaes.confex.com/iaes/73am/webprogram/Paper8071.html

3. Alt?r, M., Samuel, J., Alt?r-Samuel, A.N., (2012) , “EXTERNAL DEBT, PUBLIC DEBT AND ECONOMIC GROWTH“, Eurasia Business and Economics Society (EBES) - 2012 Warsaw Conference, Var?ovia, Polonia
http://www.ebesweb.org/Conferences/Recent/EBES-2012-Conference-Warsaw.aspx

4. Jakubik, P., Moinescu, B-G., (2012), “ASSESSING OPTIMAL CREDIT GROWTH FOR AN EMERGING BANKING SYSTEM”, 10th Infiniti Conference on International Finance - ”International Finance Towards 2020: Will The Next 10 Years Be Different ?”, Dublin, Irlanda
http://infiniticonference.files.wordpress.com/2012/09/infiniti-2012-programme-v4.pdf

5. Alt?r, M., Samuel, J., Alt?r-Samuel, A.N., (2012), ”A STUDY OF SOVEREIGN RISK, USING CONTINGENT CLAIMS ANALYSIS”, World Finance & Banking Symposium - “Asian Finance & Banking”, Shanghai, China
http://www.world-finance-conference.com/sites/default/files/proceding%20with%20ISBN.pdf; http://world-finance-conference.com/papers_wfc/379.pdf 

6. Necula, C., Radu, A-N, (2012), ”A WORLDWIDE ASSESSMENT OF BANK RESOLUTION FUND PREMIUMS”, World Conference on Business, Economics and Management (BEM-2012), Antalya, Turcia
http://www.sciencedirect.com/science/article/pii/S1877042812036117

7. Alt?r, M., Samuel, J., Alt?r-Samuel, A.N., (2013), “COMPLEXITY, STABILITY AND CONTAGION IN FINANCIAL NETWORKS”, 75th International Atlantic Economic Conference, Viena, Austria
https://iaes.confex.com/iaes/75am/webprogram/Paper9714.html

8. Bobeic?, G. (2013) “MONETARY POLICY IN CEE COUNTRIES: IS THERE A SIMILAR BEHAVIOR OF THE MONETARY AUTHORITIES?,” 75th International Atlantic Economic Conference, Viena, Austria
https://iaes.confex.com/iaes/75am/webprogram/Paper9479.html

9. Alt?r, M., Samuel, J., Alt?r-Samuel, A.N., (2013), ”STABILITY OF FINANCIAL NETWORKS”, Eurasia Business and Economics Society – 11th EBES Conference Ekaterinburg, Ekaterinburg, Rusia
https://www.ebesweb.org/Portals/0/Documents/Recent/11th%20EBES%20Conference%20-%20Ekaterinburg%20Program.pdf

10. Coculescu, C., Altar-Samuel, A.N., (2015), ”Aspects Concerning Nonlinearity in Econometric Modeling”, 15th EBES Conference – Lisbon, Lisabona, Portugalia. Publicat în  volumul ”15th EBES Conference - Lisbon Program and Abstract Book”, ISBN: 978-605-64002-9-2, EBES Publications, 2015
https://www.ebesweb.org/Portals/0/Documents/Recent/15th%20EBES%20Conference%20-%20Lisbon%20Program.pdf

11. Altar, M., Samuel, J., Altar-Samuel, A.N., (2015), ”Systemic risk and economic growth Financial System and Economic Growth”, 79th International Atlantic Economic Conference,  Milano, Italia. 
https://iaes.confex.com/iaes/79am/webprogram/Paper11456.html

12. Hasan, I., (2015) “Bank enforcement actions and the terms of lending”, 90th SBIF/UDP Conference ”Banking Development, Stability and Sustainability”, Department of Management, Universidad Diego Portales, Santiago de Chile, Chile
http://90thconference.sbif.cl/recursos/docs/pdf/2015-Iftekhar-Hasan_FU.pdf

13. Hasan, I., (2015), Liu, L., Wang, H., ”Trust and Contracting with Foreign Banks: Evidence from China”, Conference on China’s Financial Intermediation, Department of Economics and Finance, City University of Hong Kong, Hong Kong.
https://www.cb.cityu.edu.hk/ef/doc/Conference%20on%20China%E2%80%99s%20Financial%20Intermediation%202015/CFI%20program.pdf

14. Hasan, I., Tsoumas, C., Delis, M., (2014), ”The Income Elasticity of Mortgage Loan Demand: Evidence from Loan-Level US Data”, 13th Conference on Research on Economic Theory & Econometrics, Milos, Creta, Grecia
http://www.aueb.gr/conferences/Crete2014/program14.htm

15. Hasan., I., (2014), ”Politics, Institutions and Innovations”, Keynote speaker, 4th Emerging Scholars in Banking and Finance Conference, Londra, Marea Britanie
http://www.cass.city.ac.uk/news-and-events/conferences/emerging-scholars-in-banking-and-finance-2014/keynote-speech

16. Altar, M., Samuel, J., Altar-Samuel, A.N., (2014), ”Financial System and Economic Growth”, 77th International Atlantic Economic Conference,  Madrid, Spania
https://iaes.confex.com/iaes/77am/webprogram/Paper10691.html

17. Altar, M., Bobeica, G., Necula, C., (2014), ”Recent Dynamics of Macroeconomic Volatility in Central and Eastern European Countries”, 78th International Atlantic Economic Conference, Savannah, Georgia, SUA
https://iaes.confex.com/iaes/78am/webprogram/Paper11062.html

18. Hasan, I., (2014), ”25 Years of Transition in Banking: the Role of Institutions”, Keynote speaker, 4th Annual CInSt Banking Workshop "Banking in Emerging Markets: Challenges and Opportunities", Moscova, Rusia
https://cinst.hse.ru/data/2016/09/23/1123688502/Program2016-1.pdf

 

5. WORKING & DISCUSSION PAPERS

1. Moinescu, B.G., Codirlasu A., (2013) “Lending, economic growth and nonperforming loans: empirical evidences from the new EU member states”

2. Alupoaiei, A., Codirlasu, A., Sandica, A-M., (2011), “Analysing dynamics of risk aversion in FX market using the Heston volatility model“

3. N?stase, S.I., (2013), "Changes in the Transmission Mechanism of Monetary Policy in Romania"

4. Niculae, A., (2013), "Public Debt Sustainability: A Probabilistic Approach - The Case of Romania"

5. Oprea, I., (2013), "Sovereign Risk - Quantification and Analysis"

6. Sultanovici, M., (2013), "Testing the Efficient Markets Hypothesis on the Romanian Stock Exchange"

7. Rusu, D., (2013), "Estimating Fiscal Sustainability"

8. Mocanu, M., (2013), ”Monetary Policy Transmission Mechanism In Romania - A VAR Approach” 

 

6. RESEARCH PAPERS

    I. PhD THESES

  1. Bobeica, G.(2012), ”Modeling Financial Expectations”, PhD Thesis, ASE, Bucharest
  2. Radu, R.,(2012), ”Monetary Policy in Romania” , PhD Thesis, ASE, Bucharest
  3. Sima, A., (2012), ”Credit Risk Management”, PhD Thesis, ASE, Bucharest
  4. Altar-Samuel, A.N., (2014), ”Designing and Implementing a Semantic e-Learning Platform”, PhD Thesis, ASE, Bucharest

 

    II. MSc DISSERTATIONS 

  • 2015
  1. Jelea, A., ”Modelling and Forecasting the Yield Curve”, MSc Dissertation, DOFIN - ASE, Bucharest
  2. Zaharia, A., ”Financial and Business Cycles. Worldwide Correlations and Determinants”, MSc Dissertation, DOFIN - ASE, Bucharest
  3. Cramer, A. A., ”Financial Asset Market Linkages across Europe during the Eurozone Sovereign Debt Crisis”, MSc Dissertation, DOFIN - ASE, Bucharest
  4. B?nic?, M. V., ”An Empirical Approach to Regime Switching Volatility Models”, MSc Dissertation, DOFIN - ASE, Bucharest
  5. Gavril?, L. I., ”Stochastic Volatility Model under Bayesian Approach”, MSc Dissertation, DOFIN - ASE, Bucharest
  6. Chezan, V., ”Identifying the Monetary Policy Transmission Mechanism”, MSc Dissertation, DOFIN - ASE, Bucharest
  7. Stoica, M., ”Output Gap and Financial Cycles”, MSc Dissertation, DOFIN - ASE, Bucharest
  8. Spoial?-Slav, A., ”Contagion. Systemic Risk”, MSc Dissertation, DOFIN - ASE, Bucharest
  9. Tru?c?, N. D., ”Models and Techniques for Quantifying Macroeconomic Risk”, MSc Dissertation, DOFIN - ASE, Bucharest
  10. Nacu, I. A., ”Estimating Equilibrium Exchange Rate”, MSc Dissertation, DOFIN - ASE, Bucharest
  11. Roman, D. G., ”The Transmission Mechanisms of Monetary Policy”
  12. Dumitran, R. A., ”Early Warning Systems for Bankruptcy Prediction and Credit Risk Assessment”, MSc Dissertation, DOFIN - ASE, Bucharest
  13. Florescu, C. D., ”Unconventional Monetary Policies: Impact of Verbal Intervertor”,MSc Dissertation, DOFIN - ASE, Bucharest
  14. Ga?par, E. L., ”Modeling the Yield Curve Dynamics”, MSc Dissertation, DOFIN - ASE, Bucharest
  15. Lolev, C. D. P., ”The Transmission Mechanisms of Financial Shocks in Global Economy”, MSc Dissertation, DOFIN - ASE, Bucharest
  16. M?gd?lin, I. A., ”Banks' Self-Insurance Using Bail-In Measures”, MSc Dissertation, DOFIN - ASE, Bucharest
  17. Marin, A., ”Volatility Modeling in Finance and Banking”, MSc Dissertation, DOFIN - ASE, Bucharest
  18. Marin, C. G., ”The Evolution of Fiscal Multipliers during the Global Financial Crisis. The Case of Romania”, MSc Dissertation, DOFIN - ASE, Bucharest
  19. Matache, A. A., ”The Identification of Fiscal Policy Shocks”, MSc Dissertation, DOFIN - ASE, Bucharest
  20. Chifu, A. M., ”Identifying the Effects of External Shocks on the Romanian Economy Using Factor Augmented Var”, MSc Dissertation, DOFIN - ASE, Bucharest
  • 2014
  1. Ifrim, A., "Eastern Europe in the World Economy: A global VAR analysis", MSc Dissertation, DOFIN - ASE, Bucharest
  2. Ivanciu, S. V., "A Copula function investigation of the external dependence and contagion of Romanian financial asset prices", MSc Dissertation, DOFIN - ASE, Bucharest
  3. Cristiuc, A., "A DSGE model to analyze macroprudential regulations and monetary policy for Romania", MSc Dissertation, DOFIN - ASE, Bucharest
  4. Marcu, I., "Measuring systemic risk in a CCA Global VAR", MSc Dissertation, DOFIN - ASE, Bucharest
  5. Turlea, M., "Systemic risk and macroprudential capital requirements in Romania", MSc Dissertation, DOFIN - ASE, Bucharest
  6. Ionit?, G. A., "An estimated Dynamic Stochastic General Equilibrium model for Central and Eastern Europe countries - Bayesian approach", MSc Dissertation, DOFIN - ASE, Bucharest
  7. Olteanu, B., "Multi-moment approximate option valuation models - A general comparison", MSc Dissertation, DOFIN - ASE, Bucharest
  8. Lung, E. M., "Default determinants in case of Romanian state-backed mortgage loans", MSc Dissertation, DOFIN - ASE, Bucharest
  9. Marin, V. R., "Forecasting inflation in Romania under model uncertainty", MSc Dissertation, DOFIN - ASE, Bucharest
  10. Bercia, M. A., "An agent-based model for monetary and fiscal policy implications", MSc Dissertation, DOFIN - ASE, Bucharest
  11. Sp?taru, M. A., "Volatility forecasting models for CEE Stock Exchange indices", MSc Dissertation, DOFIN - ASE, Bucharest
  12. Antoni, V., "Identifying the effects of monetary policy shocks using Factor Augmented VAR", MSc Dissertation, DOFIN - ASE, Bucharest
  13. Coman, I. S., "Probability of default on a retail loans portfolio, under Basel III requirements", MSc Dissertation, DOFIN - ASE, Bucharest
  14. Zechiu, M. A., "Forecasting with many predictors", MSc Dissertation, DOFIN - ASE, Bucharest
  15. Rebedia, V. M., "Complex nonlinear dynamics of financial time series. An empirical analysis using chaos theory", MSc Dissertation, DOFIN - ASE, Bucharest
  16. Sorodoc, M. M., "Structural changes in the transmission mechanism of monetary policy in Romania - A Markov Switching Vector AutorRegression analysis", MSc Dissertation, DOFIN - ASE, Bucharest
  17. Radu, O., "Testing the efficient market hypothesis on the Romanian stock market", MSc Dissertation, DOFIN - ASE, Bucharest
  18. Pena, I., "Sudden stop and optimal holdings of international reserves in the CESEE emerging countries", MSc Dissertation, DOFIN - ASE, Bucharest
  19. Petroiu, I. A., "Direct and spillover effects of Foreign Direct Investment in Central and Eastern European Countries", MSc Dissertation, DOFIN - ASE, Bucharest
  20. Pîrvu, A. M., "Fiscal multipliers analysis", MSc Dissertation, DOFIN - ASE, Bucharest
  21. Pop, I. D., "Application of Extreme Value Theory in Risk Management", MSc Dissertation, DOFIN - ASE, Bucharest
  22. Tihan, C., "Mean-volatility spillover effects on European bond markets", MSc Dissertation, DOFIN - ASE, Bucharest
  23. Tudoran, D., "Conditional probability of default methodology", MSc Dissertation, DOFIN - ASE, Bucharest
  24. Carabas, C., "The fractal market hypothesis and its implications for the stability of financial markets", MSc Dissertation, DOFIN - ASE, Bucharest
  25. Vl?dutu, A., "Analysis of business cycle synchronization and shock similarities between Euro area and CEECs", MSc Dissertation, DOFIN - ASE, Bucharest
  26. Ene, G.R., "An economic analysis on bitcoin", MSc Dissertation, DOFIN - ASE, Bucharest
  • 2013
  1. Alexandru, O., "Detecting Intraday Price Shocks and Their Use in Testing the Efficient Market Hypothesis", MSc Dissertation, DOFIN - ASE, Bucharest
  2. Barnea, D.A., "Approaches to Estimating Romania's Potential Output and Structural Budget Balance", MSc Dissertation, DOFIN - ASE, Bucharest
  3. Cantoreanu, V., "Financial Frictions in a DSGE Framework", MSc Dissertation, DOFIN - ASE, Bucharest
  4. Dumitrescu, M.E., "Macroeconomic Determinants of Credit Risk", MSc Dissertation, DOFIN - ASE, Bucharest
  5. Gafar, S., "Credit Scoring Models for Default Probabilities in a Corporate Bank Portfolio", MSc Dissertation, DOFIN - ASE, Bucharest
  6. Kubinschi, M., "Business Cycle Synchronization Between the CEE Countries and the Eurozone", MSc Dissertation, DOFIN - ASE, Bucharest
  7. Mocanu, M., ”Monetary Policy Transmission Mechanism In Romania - A VAR Approach”, MSc Dissertation, DOFIN - ASE, Bucharest
  8. Mititelu, B.O., "An Estimated DSGE Model with Financial and Employment Frictions for the Romanian Economy", MSc Dissertation, DOFIN - ASE, Bucharest
  9. Nastase, S.I., "Changes in the Transmission Mechanism of Monetary Policy in Romania", MSc Dissertation, DOFIN - ASE, Bucharest
  10. Niculae, A., "Public Debt Sustainability: A Probabilistic Approach - The Case of Romania", MSc Dissertation, DOFIN - ASE, Bucharest
  11. Oprea, I., "Sovereign Risk - Quantification and Analysis", MSc Dissertation, DOFIN - ASE, Bucharest
  12. Rautoiu, A.M., "An Analysis of Volatility - a Non-normal Approach", MSc Dissertation, DOFIN - ASE, Bucharest
  13. Rusu, D., "Estimating Fiscal Sustainability", MSc Dissertation, DOFIN - ASE, Bucharest
  14. Sarghi, I., "Disentangling Exchange Rate Volatility for the CEE Countries", MSc Dissertation, DOFIN - ASE, Bucharest
  15. Sava, M., "Business Cycles Synchronization with Euro Area. Empirical Evidence for Romania in Comparison with other CEECs", MSc Dissertation, DOFIN - ASE, Bucharest
  16. Sultanovici, M., "Testing the Efficient Markets Hypothesis on the Romanian Stock Exchange", MSc Dissertation, DOFIN - ASE, Bucharest
  17. Tanase, I., "A Macroeconomic Credit Risk Model for Stress Testing the Romanian Corporate Credit Portfolio", MSc Dissertation, DOFIN - ASE, Bucharest
  18. Tasca, A.G., "Contagion Phenomenon and Volatility Transmission during US Crisis", MSc Dissertation, DOFIN - ASE, Bucharest
  19. Temneanu, A.E., "Analyzing the Portfolio Implications of Gols Investment Using Extreme Events, Copulas Functions and VaR: a Comparison Between U.S. and Romanian", MSc Dissertation, DOFIN - ASE, Bucharest 
  • 2012
  1. Apavaloaei D., "Resampled Mean-Variance for Romanian Stock Exchange", MSc Dissertation, DOFIN - ASE, Bucharest
  2. Burducea A., "Bayesian Analysis of Stochastic Volatility Model", MSc Dissertation, DOFIN - ASE, Bucharest
  3. Cazacu C., "Stock Market and Exchange Rate Interactions in Emerging Europe", MSc Dissertation, DOFIN - ASE, Bucharest
  4. Cristinoiu R.E., "Identifying loan supply shocks behind credit developments in Romania", MSc Dissertation, DOFIN - ASE, Bucharest
  5. Decuseara A., "Modelling The Romanian Yield Curve - A Dynamic Latent Factor- Nelson-siegel Approach And The Connection With Macroeconomics", MSc Dissertation, DOFIN - ASE, Bucharest
  6. Dicu B., "Credit risk prediction for corporate clients", MSc Dissertation, DOFIN - ASE, Bucharest
  7. Dima S., "Pre And Post Subprime Crisis Practices For Pricing Interest Rate Derivatives", MSc Dissertation, DOFIN - ASE, Bucharest
  8. Dogaru A.M., "Extreme Events, Dependence Structures and Market Risks: a CEE Stock Exchange Analysis", MSc Dissertation, DOFIN - ASE, Bucharest
  9. Gabaroi M.A., "An empirical study on comovement between sovereign bonds and CDS spreads in European emerging markets", MSc Dissertation, DOFIN - ASE, Bucharest
  10. Iliuca R.G., "Inflation and inflation uncertainty: empirical evidences for inflation targeting countries", MSc Disertation, DOFIN - ASE, Bucharest
  11. Ionita R.O., "An Early Warning System of Economic Crisis", MSc Dissertation, DOFIN - ASE, Bucharest
  12. Nalban V., "A state-space model for estimating Romania's output gap and natural rate of unemployment", MSc Dissertation, DOFIN - ASE, Bucharest
  13. Petrescu V.M., "Dynamics of Exchange Rates Using Inhomogenous Tick-by-tick Data. The Case of the EURRON Currency Pair", MSc Dissertation, DOFIN - ASE, Bucharest
  14. Pirlea C.B, "The Efficiency of Interest Rate Pass-Through in Romania", MSc Dissertation, DOFIN - ASE, Bucharest
  15. Pop R.E., "Herd Behavior Towards The Market Index: Evidence From Romanian Stock Exchange", MSc Dissertation, DOFIN - ASE, Bucharest
  16. Rakipaj S., "Multifractality in interest rate modelling", MSc Dissertation, DOFIN - ASE, Bucharest
  17. Serbanoiu G.V., "Transmission of fiscal policy shocks into Romania's economy", MSc Dissertation, DOFIN - ASE, Bucharest
  18. Sima A., "Financial (in)stability in Romania: the implications of Basel III", MSc Dissertation, DOFIN - ASE, Bucharest
  19. Stanciu I.E., "Evaluating Changes in the Monetary Policy Transmission Mechanism in CEE Countries - A Time-Varying Parameter VAR Approach", MSc Dissertation, DOFIN - ASE, BucharestS
  20. Stoian A., "The Macroeconomic Effects of Fiscal Policy in Romania", MSc Dissertation, DOFIN - ASE, Bucharest
  21. Tarta A.A., "Risk assessment using machine learning", MSc Dissertation, DOFIN - ASE, Bucharest
  22. Toma A.T., "Financial stress and its impact on economic activity in Romania", MSc Dissertation, DOFIN - ASE, Bucharest
  23. Viziniuc M., "Financial Frictions and Business Cycle Fluctuations - the Case of Romania", MSc Dissertation, DOFIN - ASE, Bucharest

 

 

 

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