DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY

In the present study we develop and implement a short term exchange rate forecasting methodology using dynamic confidence intervals based on GARCH processes and we analyze whether this methodology can be used to model a regime switch in the volatility ofconditional heteroskedasticity, regime switch, exchange rates, long memory

Partnership and Territorial Networks for Regional Policy. Romania's Experience in European Context

Partnership is a basic principle which must be observed when institutional networks for regional policy are created. If partnership works properly, the regional institutional networks will have a high chance to be viable and to offer a strong support to regional policy. This paper proposes an evaluation of the preparations for implementing Romania's Operational Programme, as a fundamental tool of regional policy. It aims to demonstrate the importance of partnership between the actors involved for the success of these preparations.regional networks, European context, organizations.

An Electronic Market Space Architecture Based On Intelligent Agents And Data Mining Technologies

This paper presents an overview of current trends in electronic Business (E-Business), and discusses how an enterprise can use the Electronic Market space based on intelligent agents and data mining techniques to its strategic advantage. We define an agency as a multi-agent system created by integrating agents, selected from a library of reusable agents that have formed a federation. A federation of agents comprises of a set of registered agents, witch are themselves complete knowledge-based system [1].multi-agent system, e-business, data mining, artificial neural networks

Operational Risk Modelling and Capital Adequacy – are There any Rewards in Greater Complexity?

The paper applies the methodologies proposed by Basel Committee on Banking Supervision for assessing the capital requirements in the context of operational risk to a Romanian commercial bank. The basic indicator, standard and internal measurement approaches (IMA) have been used to asses the capital requirement levels needed to cover the operational risk. The IMA is implemented using the loss distribution methodology (LDA). The capital at risk is computed from the loss distribution that aggregates, using Monte-Carlo simulations, the frequency and loss size distributions, fitted to the empirical data, for each business line and event type pair. Even though IMA is more costly and difficult to implement, it has, in some circumstances, considerable rewards in terms of capital requirements.operational risk, basic indicator approach, standardized approach, internal measurement approach, loss distribution methodology, Monte-Carlo simulation

A multi-agent system with application in project scheduling

The new economic and social dynamics increase project complexity and makes scheduling problems more difficult, therefore scheduling requires more versatile solutions as Multi Agent Systems (MAS). In this paper the authors analyze the implementation of a Multi-Agent System (MAS) considering two scheduling problems: TCPSP (Time-Constrained Project Scheduling), and RCPSP (Resource-Constrained Project Scheduling). The authors propose an improved BDI (Beliefs, Desires, and Intentions) model and present the first the MAS implementation results in JADE platform.multi-agent architecture, scheduling, project management, BDI architecture, JADE.

The necessity of operational risk management and quantification

Beginning with the fact that performant strategies of the financial institutions have programmes and management procedures for the banking risks, which have as main objective to minimize the probability of risk generation and the bank’s potential exposure, this paper wants to present the operational risk management and quantification methods. Also it presents the modality of minimum capital requirement for the operational risk. Therefore, the first part presents the conceptual approach of the operational risks through the point of view of the financial institutions exposed to this type of risk. The second part describes the management and evaluation methods for the operational risk. The final part of this article presents the approach assumed by a financial institution with a precise purpose: the quantification of the minimum capital requirements of the operational risk.Operational risk, operational risk profile, standard approach, gross income, administrative general expenses

THE INFLUENCE OF CLIMATIC FACTORS UPON THE FLASH-FLOODS OCCURING IN THE SUPERIOR BASIN OF THE RIVER MUREŞ

The Influence of climatic factors upon the flash-floods occuring in the superior basin of the river Mureş . The floods triggering factors in the upper river basin of the Mures are likely climatic in which case the analysis is based upon a string of data representative for the period 1986-2010, for eight stations and making reference to average rainfall,maximum rainfall within 24 hours, the thickness and duration of snow.The floods in the upper basin of the Mureş do not cause major damage, except in exceptional cases. Most localities that have reported damage caused by floods are located near the Topliţa-Deda gorge, an area that influences flow concentration through a relatively narrow territory compared to the upstream territory where the Mureş river gathers its tributaries

Hospetitiveness – the Empirical Model of Competitiveness in Romanian Hospitality Industry

Our interest is focused on an important sector of the national economy: the hospitality industry. The paper is the result of a careful analysis of the literature and of a field research. According to the answers of hotels' managers, competitiveness is based mainly on service quality and cost control. The analyses of questionnaires and dedicated literature lead us to the design of a competitiveness model for hospitality industry, called "Hospetitiveness – The empirical model of competitiveness in the Romanian hospitality industry". The model has three levels: the first level (the base) is represented by decisive factors of competitiveness: human resources, innovation, services and costs, which influence all hotels' operations. The second level consists in the inclusion of competitiveness factors’ attributes in the organization’s processes and operations, in order to reach the objectives and obtain competitive advantage. This is the level where all the competitiveness factors are transposed in objective measures, in order to make them easily understood by the employees. The third level illustrates the dimensions of competitiveness as results of the impact of the decisive factors on the organization’s internal processes and operations. These dimensions are: customer satisfaction, market position and internal and external social responsibility. The model is dynamic, being the starting point for specific models in hotel management (e.g. business or seaside hotels’ management), and also the base for a best practices guide that translates competitiveness factors into key competitive advantage.competitiveness, hospitality industry, hotel management, competitive advantage

DUGOROČNO PAMĆENJE U PRINOSU ISTOČNOEUROPSKIH FINANCIJSKIH TRŽIŠTA

The paper examines the long memory property of stock returns and its implications using daily index returns for eight CEE emerging markets: Romania, Hungary, Czech Republic, Poland, Slovenia, Bulgaria, Slovakia, and Croatia. Several nonparametric methods for testing for long memory are employed, as well as parametric long memory models. The ARFIMA-FIGARCH model seems the most appropriate specification since the nonlinearity tests can not reject the null of independent and identically distributed residuals, implying that this specification accounts for the nonlinearity in the data. The estimated fractional differencing parameter is statistically significant in seven of the eight emerging economies employed in the study, suggesting the presence of long memory in the returns in these financial markets.Ovaj rad istražuje svojstvo dugoročnog pamćenja prinosa dionica i njegove implikacije koristeći dnevni indeks prinosa za osam CEE tržišta u nastajanju: Rumunjsku, Mađarsku, Češku, Poljsku, Sloveniju, Bugarsku, Slovačku i Hrvatsku. Testiranje dugoročnog pamćenja je izvedeno korištenjem više neparametarskih metoda kao i nekoliko parametarskih modela dugoročnog pamćenja. ARFIMA-FIGARCH model se pokazao kao najprikladnija specifikacija s obzirom da testovi nelinearnosti ne mogu odbaciti nul-hipotezu neovisnih i identično distribuiranih rezidua, implicirajući činjenicu da je ova specifikacija odgovorna za nelinearnost podataka. Procijenjeni frakcijski parametar diferenciranja je statistički značajan u sedam od osam ekonomija u nastajanju koje su istražene u radu, sugerirajući prisutnost dugoročnog pamćenja prinosa na ovim financijskim tržištima