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Publications (63)
The energy sector plays a pivotal role in economic development, societal progress,
and environmental sustainability, yet heavy reliance on fossil fuels remains a major challenge
for achieving climate neutrality. Within this context, the European Union (EU-27)
has committed to ambitious climate goals, including achieving carbon neutrality by 2050,
m...
One of the most notable developments in the asset management industry in recent decades has been the growth of algorithmic trading. At the same time, significant structural changes in the industry have occurred, with passive investing gaining momentum. The intersection of these two major trends poses special challenges during market downturns, magn...
Purpose
This study aims to explore the strategic integration of Sharia-compliant and environmental, social and governance (ESG)-focused investments within global equity portfolio optimization frameworks, with a particular emphasis on variance minimization and dynamic rebalancing techniques.
Design/methodology/approach
The research uses historical...
This study analyzes the post-pandemic dynamics and investment potential of diverse clean energy equities, including solar, wind, nuclear, and other renewable assets, highlighting nuanced differences and investment opportunities within this critical sector. The analysis reveals that nuclear energy portfolios (NLR) exhibit notable resilience, sustain...
The integration of Artificial Intelligence (AI) in higher education has the potential to significantly enhance the educational process and student outcomes. However, there is a limited understanding of the factors influencing AI adoption among university students, particularly in economic programs. This study examines the relationship between stude...
This paper examines how artificial intelligence and smart manufacturing concepts are reflected in the business strategy and performance narratives of major industrial corporations. A qualitative analysis of annual reports from the 20 largest global industrial companies listed on US stock exchanges was conducted using QDA Miner software. The analysi...
This study introduces a trading decision support system (DSS) enhanced by an optimized mean-variance model for algorithmic trading (AT), crucial in modern financial markets for its efficiency and error reduction. Despite AT’s advantages, its limitations including risks of losses and market instability are notable. The proposed DSS focuses on improv...
Amidst the global push for decarbonization, green hydrogen has gained recognition as a versatile and clean energy carrier, prompting the financial sector to introduce specialized investment instruments like Green Hydrogen Exchange-Traded Funds (ETFs). Despite the nascent nature of research on green hydrogen portfolio performance, this study examine...
Background
Colorectal cancer (CRC) is the third most prevalent and second most lethal form of cancer in the world. Consequently, CRC cancer prevalence projections are essential for assessing the future burden of the disease, planning resource allocation, and developing service delivery strategies, as well as for grasping the shifting environment of...
The relationship between transportation and the environment is complex, with transportation bringing important socioeconomic benefits while also harming the environment. This study investigates empirically how the logistics performance index (LPI) measuring the quality of trade and transport-related infrastructure (QTTI) affects air pollution as me...
The main aim of the paper is to analyze the temporal behavior of air pollutant concentrations in two different Greek urban areas, Piraeus and Volos. Results indicate that the daily mean concentrations of PM10 exceeded the EU standards in both cities on a significant number of days over the most recent calendar years. Further, the Theil-Sen estimati...
The role of transport for economic development has long been recognized, but so has its environmental impact. Transportation investments are able to generate or complement structural change and can significantly contribute to mitigating urban pollution. However, for developing countries, there is a long road ahead toward decoupling transportation i...
Air pollution remains the most serious environmental health issue in the United Kingdom while also carrying non-trivial economic costs. The COVID-19 lockdown periods reduced anthropogenic emissions and offered unique conditions for air pollution research. This study sources fine-granularity geo-spatial air quality and meteorological data for the ca...
With customers’ increasing reliance on e-commerce and multimedia content after the outbreak of COVID-19, it has become crucial for companies to digitize their business methods and models. Consequently, COVID-19 has highlighted the prominence of e-commerce and new business models while disrupting conventional business activities. Hence, assessing an...
In this study, we examine the contribution of nuclear, fossil (coal, oil, and gas), and renewable (hydro, solar, wind, biofuel) electricity sources to pollution in the globalization era, as measured by total greenhouse gases (GHG) produced by electricity per capita. We conduct an empirical investigation in a global panel of 163 countries which asse...
The COVID-19 pandemic related government interventions produced rapid decreases in worldwide economic and social activity, with multifaceted economic and social consequences. In particular, the disruption of key industries and significant lifestyle changes in the aftermath of the pandemic outbreak led to the exponential adoption of web and video co...
The aim of this paper is to uncover the associations between air pollution, media consumption, and the prevalence of obesity. Based on data availability, this study draws on an unbalanced panel of 28 countries and develops and extracts relationships through robust System-General Method of Moments (Sys-GMM) estimators that account for the dynamic na...
The analysis of the public interest as reflected by Internet queries has become a highly valuable tool in many fields. The Google Trends platform, providing timely and informative data, has become increasingly popular in health and medical studies. This study explores whether Internet search frequencies for the keyword “headache” have been increasi...
Cancer remains a leading cause of worldwide mortality and is a growing, multifaceted global burden. As a result, cancer prevention and cancer mortality reduction are counted among the most pressing public health issues of the twenty-first century. In turn, accurate projections of cancer incidence and mortality rates are paramount for robust policym...
The European Union (EU) has positioned itself as a frontrunner in the worldwide battle against climate change and has set increasingly ambitious pollution mitigation targets for its members. The burden is heavier for the more vulnerable economies in Central and Eastern Europe (CEE), who must juggle meeting strict greenhouse gas emission (GHG) reduc...
Research and development (R&D) has long been recognized as an important component of sustainable development, with a key role in the combatting of climate change. Moreover, R&D activity is increasingly acknowledged as an important contributing factor to global post-pandemic economic recovery. However, little is known about the determinants of R&D i...
Generating reliable trading signals is a challenging task for financial market professionals. This research designs a novel decision-support system (DSS) for algorithmic trading and applies it empirically on two main crude oil markets. The novel DSS enables investors to interactively build algorithmic trading strategies by fine-tuning various prede...
Climate change and pollution fighting have become prominent global concerns in the twenty-first century. In this context, accurate estimates for polluting emissions and their evolution are critical for robust policy-making processes and ultimately for solving stringent global climate challenges. As such, the primary objective of this study is to pr...
The mitigation of climate change through ambitious greenhouse gases emission reduction targets constitutes a current priority at world level, reflected in international, regional and national agendas. Within the common framework for global climate action, an increased reliance on renewable energy sources, which would assist countries to reduce ener...
This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on the Bucharest Stock Exchange (BVB) for the period 2004–2011. Using monthly returns for individual companies listed on BVB, stock market indices during the seven years period, as well as aggregate data on foreign and domestic in...
Oil price forecasts are of crucial importance for many policy institutions, including the European Central Bank and the Federal Reserve Board, but projecting oil market evolutions remains a complicated task, further exacerbated by the financialization process that characterizes the crude oil markets. The efficiency (in Fama’s sense) of crude oil ma...
At a theoretical level, exports benefit a country’seconomy through contributing to aggregate demand and through positive externalities such as knowledge spillovers and economies of scale. In this research, we take a global approach and investigate the impact of a country’s exports importance at a macroeconomic level for its economic growth through...
The 2012 Doha meeting established the continuation of the Kyoto protocol, the legally-binding global agreement under which signatory countries had agreed to reduce their carbon emissions. Contrary to this assumed obligation, all G20 countries with the exception of France and the UK saw significant increases in their CO2 emissions over the last 25 y...
Our objective is to determine whether one can derive returns in excess of a chosen benchmark by using readily available information such as past prices and earnings. A key aspect of our method is that we test the estimation results in conjunction with the portfolio optimization process that incorporates those same estimates, as they are generated,...
This chapter covers the essentials of using the Monte Carlo Simulation technique (MSC) for project schedule and cost risk analysis. It offers a description of the steps involved in performing a Monte Carlo simulation and provides the basic probability and statistical concepts that MSC is based on. Further, a simple practical spreadsheet example goe...
We analyze a variant of the ARCH(1) model which captures the variation of the intra-day price. We study the asymptotic behavior of the least squares estimator for the parameters of the model. © 2015, Transilvania University of Brasov 1. All rights reserved.
We estimate a multivariate GARCH-BEKK model to examine the returns and volatility dynamics between post-communist CEE stock markets and two of the largest international equity markets (namely US and Germany) over the last decade (2004-2014), with an emphasizes on the credit-crunch crisis period (2007-2009). We find that Russia is the only market th...
The Fama–French three-factor model is known to explain the cross-section of average returns better than the market beta alone across various international equity markets. No such implementation exists, however, for the Romanian capital market. This paper contributes to the existing literature by calibrating the model on the Bucharest Stock Exchange...
In this paper we aim to comparatively analyze the performance of SMEs stocks portfolios, large-cap portfolios and the overall Romanian stock market as proxied by a self-constructed composite index. To perform this investigation, we will firstly construct the three alternative portfolios (I.e. Large-Cap, SME and Market or RM) and subsequently comput...
We analyze a variant of the EGARCH model which captures the variation of the intra-day price. We study the asymptotic behavior of the estimators for the parameters of the model. We also illustrate our theoretical results by empirical studies.
The homogeneity of expectations and rationality of decisions in the neo-classical portfolio theory imply the existence of an efficient market – meaning a market where assets’ prices coincide with their fundamental value. The efficient market hypothesis, stating that efforts to find over/under valued assets are unnecessary and will not produce resul...
In this paper, we comparatively investigate the issue of Granger causality between stock prices and exchange rates movements for 13 developed and emerging financial markets during the period 1997-2012. The countries, selected considering the 2010 market capitalization criterion are: Australia, Canada, France, Hong Kong, Japan, United Kingdom, and U...
The objective of this paper is to investigate and explain the evolution of the Romanian textile industry over the last decade. Potential explanatory factors, both systematic and industry-specific, for the dramatic industry decay are identified e.g. the disappearance of the primary industry, the continuous increase in the minimum wage in Romania, an...
This paper develops a new GARCH-family model (named Liquidity-Weighted GARCH or LW-GARCH) for explaining the volatility behaviour of financial time series, with an application on empirical international equity series (consisting both of stock market indices and individual stock returns). The dataset consists of daily stock market indexes and indivi...
This paper investigates causal relationships and short-term interaction mechanisms among six Central and Eastern European stock markets and the USA stock exchange, while paying special consideration to the effects of the 2007-2009 global financial crisis. We employ daily observations for the six CEE stock indexes and also for the US market covering...
This paper investigates contemporaneous correlations and causal relationships among six Central and Eastern European stock markets and the USA stock exchange, while paying special consideration to the effects of the 2007-2009 global financial crisis. We employ daily observations for the six CEE stock indexes and also for the US market covering the...
In this paper, we apply the FM methodology to the cross-section of Romanian-listed common stocks and investigate the explanatory power of market beta on the cross-section of commons stock returns from Bucharest Stock Exchange. Various assumptions are empirically tested, such us linearity, market efficiency, the "no systematic effect of non-beta ris...
In the last decades, pension reforms have been implemented in Central and Eastern Europe (CEE) transition economies, including Romania, all following the World Bank recommendations for a multipillar system. This paper analyses the newly reformed pension system in Romania, presents and explains the current structure of the system and reviews its reg...
The interdependences among stock market indices were studied for a long while by academics in the entire world. The current financial crisis opened the door to a wide range of opinions concerning the understanding and measurement of the connections considered to provide the controversial phenomenon of market integration. Using data on the log-retur...
This paper investigates the direction of information flow between world stock markets during the recent financial crisis by conducting Granger causality tests in a three variables system. We employ daily rates of return for three representative stock market indices: S&P 500 for the US, BET-C for Romania and the multinational Morgan Stanley Capita...
This paper compares several statistical models for daily stock return volatility in terms of sample fit and out-of-sample forecast ability. The focus is on U.S. and Romanian daily stock return data corresponding to the 2002-2010 time interval. We investigate the presence of leverage effects in empirical time series and estimate different asymmetric...
We consider a business simulation as document based when all the data concerning the simulation are persistently stored into documents (files) and the data exchange between participants relies exclusively on documents. The paper introduces a development framework for document based business simulations. We argue that business simulations are fast t...
This paper examines both the return-volume and volatility-volume movements on Bucharest Stock Exchange, in order to evaluate the impact of changes in stock market liquidity on stock returns and on volatility of returns. We employ linear Granger-causality tests to investigate the dynamic relation between trading volume, stock returns and returns vol...
This paper tests the relationship between above market returns and beta, size, leverage, book-to-market equity and earning-price ratios for the Bucharest Stock Exchange common stocks. Results from cross-sectional regressions document that both book-to-market equity and earning-price ratios are important risk factors on the Romanian stock market, wh...
In this paper we provide an overview of the roots, first manifestations and further developments of the US subprime crisis and explain the securitization process by emphasizing especially the mortgage securitization process. Some explanations for the ongoing financial crisis are also offered. We continue with a presentation of the US real estate se...
This paper employs GARCH-family models to investigate volatility on the Romanian stock market. We use daily logarithmic returns of the BSE composite index BET-C, covering a four and a half years period (January 2004-July 2008). Various time series methods are employed, including the simple GARCH model, the GARCH-in-Mean model and the exponential GA...
This paper examines the relationship between stock returns and firm-specific ratios on the Romanian stock market for the period 2002 to 2008. We investigate the explanatory power on future stock returns of market beta, financial leverage, book-to-market equity, size, the earnings-to-price ratio, ROA and ROE. We find that size has the most significa...
This paper employs symmetric GARCH models to investigate the volatility on the Romanian and American stock markets. We consider two empiric time series from each market, consisting in daily logarithmic returns. For Bucharest Stock Exchange, we include the composite index BET-C and TLV (Transilvania Bank), a company listed on BSE and for New York St...
The objective of our paper is to analyze the possibility to provide a forecast for the sign of the financial asset returns using the empirical prices of stocks listed at the Bucharest Stock Exchange. Previous research provided by Christoffersen and Diebold (2004) among others show that even if both the sign and the absolute value of returns are det...
This paper investigates seasonal anomalies in stock returns on Bucharest Stock Exchange. The anomalies studied are two of the most common security price anomalies detected on international stock markets, the day-of-the-week effect and the month-of-the-year effect. The empirical research is conducted using daily logarithmic returns of the Romanian c...
This study employs Enterprise Survey data to analyze business environment constraints and financing sources for investment for Romanian and Bulgarian companies at the end of 2009 and investigates the change in financing sources after the global financial crisis relative to a pre-crisis period (2005). The study also investigates whether the ownershi...
This paper investigates whether important aspects of the Romanian and Hungarian stock market changed subsequent to the country's accession to the European Union in January 2007 and May 2004, respectively. We employ weekly data for both considered stock indices (the Romanian index BET and the Hungarian index BUX) and both weekly and daily observatio...