Daniel Traian Pele

Herding Behaviour, Bubbles and Log Periodic Power Laws in Illiquid Stock Markets: A Case Study on the Bucharest Stock Exchange

In this paper we investigate the herding behaviour of the Bucharest Stock Exchange (BSE), using log periodic power laws models. By analysing the behaviour of the most speculative index from the Bucharest Stock Exchange, the BET-FI, we are able to demonstrate that Log-Periodic Power Law (LPPL) models are a useful tool for recognizing the behaviour of a stock market bubble, and have good abilities for predicting the critical point of a bubble. From our statistical investigation, it turns out that an iterative calibration of the model for the BET-FI regime leads ex post to a rather accurate forecast of the stock market crash in January 2008. Next, by using the same methodology, the anti-bubble regime from 2008 is used for a statistical fit. We then find an accurate “prediction” of the local point of phase transition on 27 October 2008.

Euro Area: The Long Way of Recovery

Abstract The Euro Area economy marked an inflexion point during 2Q2013, after the prolonged recession determined by the public debt crisis and its consequences. However, the economic divergence among the member countries persists and the recovery process seems anemic and uneven. In this paper we employ the Cobb-Douglas methodology, the Hodrick-Prescott filter and the ARIMA models in order to estimate the potential GDP and forecast the medium-run evolution of the Euro Area economy. According to our results, the Euro Area economic recovery process would be long, as the potential GDP pace would continue to be below the pre-crisis (Great Recession) period at least until 2016.

An Econometric Model for Estimating the Equity Risk Premium

Abstract In this paper we estimate the relation between the equity risk premium and the fundamental macroeconomic and financial variables in the United States during the period 1964-2012 by applying the standard OLS regression and the Hodrick-Prescott filter. Consequently, based on these results and applying the ARIMA models we forecast the evolution of the equity risk premium in the United States for the period 2013-2016. According to our results the equity risk premium in the United States is going to gradual increase in the following years, an evolution determined by the FED monetary policy perspectives, but also by the narrowing of the private consumption gap.

A SAS Approach for Estimating the Parameters of an Alpha-stable Distribution☆

Abstract Although there are several software products dealing with the issue of simulating and estimating a stable distribution, SAS has no procedure for stable distributions. In this paper we propose two macros for estimating the parameters of a stable distribution using McCulloch method and Kogon-Williams method; further developments are required for implementing a procedure for estimating the parameters of a stable distribution using maximum likelihood method.