Boyan Lomev

Sofia University "St. Kliment Ohridski" · Department of Statistics and Econometrics

The presence of stock market efficiency is a distinctive characteristic of the effectively functioning market economy. Investigation of the market efficiency of seven emerging East-European stock exchanges is carried out as their major stock indices (BELEX15, BET, CROBEX, ISE100, PFTS, RTSI, SOFIX) are studied in respect of long-range dependence (L...

The current paper investigates the major index of the Bulgarian Stock Exchange with respect to the presence of long-range dependence and principal predictability of the index. The wavelet transform is utilized in order to carry out the investigation since it is a well-suited tool for the analysis of fractal processes and sheds additional light to t...

This paper discusses the numerical solution of the coupled algebraic Riccati equations associated with the linear quadratic differential games. The Lyapunov iteration for solving the considered coupled equations is discussed by Li and Gajic (1994). We modify this iteration and derive the new algorithm with typically convergence properties for metho...

In this paper, the stochastic Nash games for weakly coupled large-scale systems with state-dependent noise are considered. The considered stochastic algebraic Riccati equations is quite different from the existing results in the sense that the equations have the additional linear term. The numerical algorithm based on Lyapunov iterations for solvin...

In this paper, the stochastic Nash games for weakly coupled large-scale systems with state-dependent noise are con-sidered. The considered stochastic algebraic Riccati equations is quite different from the existing results in the sense that the equations have the additional linear term. The numerical methods based on the solution of linear matrix e...