Referencesഀ ഀ ഀ Abreu D. si Brunnermeier M. (2003) Bubbles and Crashes, Econometrica, Vol. 71(1),ഀ pg. 173-204.ഀ ഀ Aharony J. si Swary I. (1996) Additional Evidence on the Information-Basedഀ Contagion Effects of Bank Failures, Journal of Banking and Finance, Vol 20(1), pg.ഀ 57–69.ഀ ഀ Akgiray V. (1989) Conditional heteroskedasticity in time series of stock returns:ഀ Evidence and forecasts, Journal of Business, Vol. 62, pg. 55-80.ഀ ഀ Albu L. L. (2003) Short-term forecast, Romanian Journal for Economic Forecasting,ഀ Vol. 4, Editia 1, pg. 197-199.ഀ ഀ Alexander C. O. (1998) Volatility and correlation: methods, models and applications,ഀ Risk management and analysis: measuring and modeling financial risk, Wileys.ഀ ഀ Alexander C. O. (2000) A primer on the Orthogonal GARCH model, retrieved Marchഀ 15th, from http://www.ismacentre.rdg.ac.uk/pdf/orthogonal.pdf.ഀ ഀ Allen F. si Gale D. (1998) Optimal Financial Crises, Journal of Finance, Vol. 47, pg.ഀ 1245–84.ഀ ഀ Allen F. si Gale D. (2000) Bubbles and Crises, The Economic Journal, Vol. 110, pg.ഀ 236-255.ഀ ഀ Andersen T. G. si Bollerslev T. (1998a) Answering the skeptics: Yes, standardഀ volatility models do provide accurate forecasts, International Economic Review, Vol.ഀ 39, Nr. 4, pg. 885-905.ഀ ഀ Andersen T. G., Bollerslev T., Christoffersen P. F. si Diebold F. X. (2005) Volatilityഀ Forecasting, PIER (Penn Institute for Economic Research) Working Paper 05-01, pg.ഀ 1-110ഀ ഀ Andersen T., Bollerslev T., Diebold F. X. si Labys P. (2003) Modeling andഀ forecasting realized volatility, Econometrica, Vol. 71, pg. 529-626.ഀ ഀ Andersen T. G., Bollerslev T. si Lange S. (1999) Forecasting financial marketഀ volatility: Sample frequency vis-à-vis forecast horizon, Journal of Empirical Finance,ഀ Vol. 6(5), pg. 457-477.ഀ ഀ Andersen T. G., Bollerslev T. G. si Meddahi N. (2004) Analytic Evaluation ofഀ Volatility Forecasts, International Economic Review, Vol. 45(4), pg. 1079-1110.ഀ ഀ Andreica C., Andreica M., Andreica R., Miclaus I. si Ungureanu M. (2007)ഀ Conclusions on using the statistical methods in forecasting the structure evolution ofഀ an economic indicator system, Economic Computation and Economics Cyberneticsഀ Studies and Research, Vol. 41 (1-2), pg. 147-157.ഀ ഀ Andreica M. (2006) A model to forecast the evolution of the structure of a system ofഀ economic indicators, Romanian Journal for Economic Forecasting, Vol. 7 (1), pg. 65-ഀ 73.ഀ ഀ Angelini P., Maresca G. si Russo D. (1996) Systemic Risk in the Netting System,ഀ Journal of Banking and Finance, Vol. 20(5), pg. 853–868ഀ ഀ Armendàriz de Aghion B. (1995) On the Design of a Credit Agreement with Peerഀ Monitoring, Journal of Development Economics, Vol. 60, pg. 79-104.ഀ ഀ Balaban E. (2002) Comparative forecasting performance of symmetric andഀ asymmetric conditional volatility models of an exchange rate, University ofഀ Edinburgh Center for Financial Markets Research Working Paper, Nr. 02.06.ഀ ഀ Balaban E. si Bayar A. (2005) Stock Returns and Volatility: Empirical Evidence fromഀ Fourteen Countries, applied Economic Letters, 12, pg. 603-611.ഀ ഀ Balaban E., Bayar A. si Faff R. (2004) Forecasting Stock Market Volatility: Furtherഀ International Evidence, The European Journal of Finance, Vol. 12, Editia 2, pg. 171-ഀ 188.ഀ ഀ Barucci E. si Renò (2002) On Measuring Volatility and the GARCH Forecastingഀ Performance, Journal of International Financial Markets, Institutions and Money,Vol.ഀ 12, Editia 3, pg. 183-200.ഀ ഀ Bartholomew P. si Whalen G. (1995) Fundamentals of Systemic Risk. In Research inഀ Financial Services: Banking, Financial Markets, and Systemic Risk, Vol. 7, edited byഀ George G. Kaufman, 3–17, Greenwich, Conn.: JAI.ഀ ഀ Basile A. si Joyce J. (2001) Asset Bubbles, Monetary Policy and Bank Lending inഀ Japan: An Empirical Investigation, Applied Economics, Vol. 33, pg. 1737-1744.ഀ ഀ Benston G., Eisenbeis R., Horvitz P., Kane E. si Kaufman G. (1986) Perspectives onഀ Safe and Sound Banking, Cambridge, Mass.: MIT Press.ഀ ഀ Benston G. si Kaufman G. (1995) Is the Banking Payments System Fragile?, Journalഀ of Financial Services Research, Vol. 9, pg. 209–240.ഀ ഀ Bera A. K. si Higgins M. L. (1993) ARCH Models: Properties, Estimation andഀ Testing, Journal of Economic Surveys, Vol. 7, Nr. 4, pg. 305-62.ഀ ഀ Bhattacharya S. si Fulghieri P. (1994) Uncertain Liquidity and Interbank Contracting,ഀ Economics Letters, Vol. 44(3), pg. 287-294.ഀ ഀ Biscarri J. G. (2008) Volatility and Financial Time Series, Class notes of “Time Seriesഀ in Finance”.ഀ ഀ Black F. (1976) Studies of stock price volatility changes, Proceedings of theഀ American Statistical Association, Business and Economic Statistics Section, pg. 177-ഀ 181.ഀ ഀ Bluhm H. si Yu J. (2001) Forecasting Volatility: Evidence from the German Stockഀ Market, Economics Working Papers, The University of Aucklandഀ ഀ Bollerslev T. (1986) Generalized autoregressive conditional heteroskedasticity,ഀ Journal of Econometrics, Vol. 31, pg. 307-327.ഀ ഀ Bollerslev T., Chou R. Y. si Kroner K. F. (1992) ARCH Modeling in Finance,ഀ Journal of Econometrics, Editia 52, pg. 5-59.ഀ ഀ Bollerslev T., Engle R. F. si Nelson D.B. (1994) ARCH Models, Handbook ofഀ Econometrics, Vol. IV (eds. R.F. Engle and D. McFadden), Amsterdam: Elsevierഀ Science B. V.ഀ ഀ Bollerslev T. G. si Forsberg L. E. (2002) Bridging the Gap Between the Distributionഀ of Realized (ECU) Volatility and ARCH Modeling (of the Euro): The GARCH-NIGഀ Model, Journal of Applied Econometrics, Vol. 17, pg. 535-548.ഀ ഀ Bollerslev T. G. si Wright J. (2001) Volatility Forecasting, High-Frequency Data, andഀ Frequency Domain Inference, Bollerslev, Review of Economics and Statistics, Vol.ഀ 83, pg. 596-602.ഀ ഀ Bollerslev T. si Zhou H. (2007) Expected Stock Returns and Variance Risk Premia,ഀ Board of Governors of the Federal Reserve System (U.S.): Finance and Economicsഀ Discussion Series, Nr. 2007-11.ഀ ഀ Bordo M., Eichengreen B., Klingebiel D. si Martinez-Peria M. S. (2000) Is the crisisഀ problem growing more severe?, Economic Policy, Vol. 16(32), pg. 51-82.ഀ ഀ Borrus A., McNamee M. si Timmons H. (2002) The Credit-Raters: How They Workഀ and How They Might Work Better, The Business Week. Retrieved on October 28thഀ 2008 at: http://www.businessweek.com/magazine/content/02_14/b3777054.htmഀ ഀ Box G. E. P., Jenkins G. M. si Reinsel G. C. (1994) Time Series Analysis:ഀ Forecasting and Control, 3RD Ed., Prentice Hall, Inc., New Jersey.ഀ ഀ Brailsford T.J. si Faff R. W. (1995) An evaluation of volatility forecasting techniques,ഀ Journal of Banking and Finance, Vol. 20, pg. 419-38.ഀ ഀ Breidt F. J., Crato N. si de Lima P. J. F. (1997) Modeling the Persistent Volatility ofഀ Asset Returns, Proceedings of the IEEE/IAFE Conference on Computationalഀ Intelligence for Financial Engineering (CIFEr), Piscataway, NJ, pg. 266-272ഀ ഀ Brock P. (1992) If Texas Were Chile—A Primer on Banking Reform, San Francisco:ഀ ICS.ഀ ഀ Brooks R. D., Faff R. W, McKenzie M. D. si Mitchell H. (2000), A multi-countryഀ study of power ARCH models and national stock market returns, Journal ofഀ International Money and Finance, Vol. 19(3), pg. 377-397.ഀ ഀ Brooks C. si Persand A. G. (2003) Volatility forecasting for risk management,ഀ Journal of Forecasting, Vol. 22, pg. 1-22.ഀ ഀ Bryant J. (1980), A Model of Reserves, Bank Runs, and Deposit Insurance, Journal ofഀ Banking and Finance, Vol. 4(4), pg. 335-344.ഀ ഀ Burns P. (2005) Multivariate GARCH with only univariate estimation, retrieved Juneഀ 20th, from Burns Statistics http://www.burns-stat.com/.ഀ ഀ Calomiris C. (1999) Runs on Banks and Lessons of the Great Depression, Regulationഀ 22, Nr. 1: 4–7.ഀ ഀ Calomiris C. si Gorton G. (1991) The Origins of Banking Panics: Models, Facts, andഀ Bank Regulation. In Financial Markets and Financial Crises, edited by R. Glennഀ Hubbard, pg. 109–173, Chicago: University of Chicago Press.ഀ ഀ Campbell J. Y., Lo A. W. si MacKinley A. C. (1997) The Econometrics of Financialഀ Markets, Princeton University Press, Princeton, N. J.ഀ ഀ Chaudhury M. si Wei J. Z. (1996) A comparative Study of GARCH(1,1) and Black-ഀ Scholes Option Prices, McGill Finance Centre Working Paper, www.mfrc.mcgill.ca.ഀ ഀ Chorafas Dimitris (2000) Managing Credit Risk. London: Euromoney Institutionalഀ Investor PLCഀ ഀ Christoffersen P. F. si Diebold X. F. (2000) Volatility forecastability in riskഀ management, The Review of Economics of Economics and Statistics, Vol. 82, Editia 1,ഀ pg. 12-22.ഀ ഀ Corrigan G. (1987) Financial Market Structure: A Longer View, Annual Report,ഀ Federal Reserve Bank of New York, pg. 3–54, New York: Federal Reserve Bank ofഀ New York.ഀ ഀ Cottrel A., Lawlor M. si Wood J. (1995) What are the connections between depositഀ insurance and bank failures? In The Causes and Costs of Depository Institutionഀ Failures, edited by Allin Cottrell, Michael Lawlor, and John Wood, pg. 163–197,ഀ Norwell, Mass.: Kluwer.ഀ ഀ Crockett A. (1997), Why Is Financial Stability a Goal of Public Policy?, Maintainingഀ Financial Stability in a Global Economy, 7–36. Kansas City, Mo.: Federal Reserveഀ Bank of Kansas City.ഀ ഀ Crockett A. (2000) Marrying the Micro- and Macro-Prudential Dimensions ofഀ Financial Stability, Basel, Switzerland: Bank for International Settlements.ഀ ഀ Cumby R., Figlewski S. si Hasbrouck J. (1993), Forecasting volatility and correlationsഀ with EGARCH models, Journal of Derivatives, Vol. 1, No.Winter, pg. 51-63.ഀ ഀ Davis P. (1995) Debt, Financial Fragility, and Systemic Risk, Oxford: Oxfordഀ University Press.ഀ ഀ de Jong F., Kemna A. si Kloek T. (1992) A contribution to event study methodologyഀ with an application to the Dutch stock market, Journal of Banking and Finance, vol.ഀ 16, pg. 11-36.ഀ ഀ Dermine J. (1996) Comment on the paper by Liklaus Blattner "Capital Adequacyഀ Regulation, Swiss Journal of Economics and Statistics, Vol 132(IV), pp.: 679–682.ഀ ഀ Diamond D. si Dybvig P. (1983) Bank runs, deposit insurance, and liquidity, Journalഀ of Political Economy, Vol. 91 (3), pg. 401–419.ഀ ഀ Diebold F. X. si Lopez J. A. (1996) Forecast Evaluation and Combination, Handbookഀ of Statistics, Vol 14, G.S. Maddala and C.R. Rao (eds.), Elsevier Science B.V., North-ഀ Holland, pg. 241-268.ഀ ഀ Diebold F. X. si Mariano R. S. (1995) Comparing predictive accuracy, Journal ofഀ Business and Economic Statistics, Vol. 13, pg. 253-265.ഀ ഀ Dimson E. si Marsh P. (1990) Volatility forecasting without data snooping, Journal ofഀ Banking and Finance, Vol. 14, pg. 399-21.ഀ ഀ Dobrescu E. (2006) Integration of macroeconomic behavioural relationships and theഀ input-output block (Romanian modeling experience), Paper presented at theഀ International Conference on Policy Modeling (Ecomod 2006), Hong Kong, June 28-ഀ 30, 2006, http://www.ecomod.org/files/papers/1564.pdf.ഀ ഀ Dobrescu Emilian (2006) Macromodels of the Romanian Market Economy, Edituraഀ Economica: Bucharest.ഀ ഀ Dosescu T. si Raischi C. (2008) The econometric model of a random system thatഀ generates time series data, Economic Computation and Economics Cyberneticsഀ Studies and Research, Vol. 42, Editia 3-4, pg. 85-97.ഀ ഀ Dospinescu A. S. (2005) Combining the forecasts using a statistical approach,ഀ Romanian Journal for Economic Forecasting, 6(2): 72-84.ഀ ഀ Drost F. C. si Nijman T. E. (1993) Temporal Aggregation of GARCH Processes,ഀ Econometrica, Vol. 61(4), pg. 909-927.ഀ ഀ Duffie D. si Huang M. (1996) Swap rates and credit quality, Journal of Finance, Vol.ഀ 51, pg. 921-949.ഀ ഀ Duffy J. si Unver M. U. (2006) Asset price bubbles and crashes with near-zero-ഀ intelligence traders, Economic Theory, Vol. 27, pg. 537-563.ഀ ഀ Eisenbeis R. (1995) Private sector solutions to payments system fragility, Journal ofഀ Financial Services Research, Vol. 9, pg. 327–350.ഀ ഀ Eisenberg L. si Noe T. (2001) Systemic risk in financial systems, Managementഀ Science, Vol. 47, pg. 236-249.ഀ ഀ Elimam A., Girgis M. si Kotob S. (1997) A solution to post crash debt entanglementsഀ in Kuwait's al Manakh Stock Market, Interfaces Vol. 27(1), pg. 89-106.ഀ ഀ Ely B. (1993) Savings and Loan Crisis. In The Fortune Encyclopedia of Economics,ഀ edited by David R. Henderson, pg. 369–75, New York: Warner.ഀ ഀ Enders W. (2004) Applied Econometric Time Series, N.J: John Wiley & Sons,ഀ Hoboken.ഀ ഀ Engle R. F. (1995, repr. 2000) ARCH : selected readings, Oxford : Oxford Universityഀ Press.ഀ ഀ Engle R. F. (1982) Autoregressive conditional heteroskedasticity with estimates of theഀ variance of United Kingdom inflation, Econometrica, 50:4, pg. 987-1007.ഀ ഀ Engle R. F. (1993), Statistical Models for Financial Volatility, Financial Analystsഀ Journal, Vol. 49(1), pg. 72-78.ഀ ഀ Engle R. F. (2001) GARCH 101: The use of ARCH/GARCH models in appliedഀ Econometrics, Journal of Economic Perspectives, Vol. 15, Nr. 4, pg. 157-68.ഀ ഀ Engle R. F. si Bollerslev T. (1986) Modeling the persistence of conditional variances,ഀ Econometric Reviews, Vol. 5(1), pg. 1-50ഀ ഀ Engle R. si Ng V. K. (1993) Measuring and Testing the Impact of News on Volatility,ഀ The Journal of Finance, Vol. XLVIII, Nr. 5.ഀ ഀ Engle R. F. si Patton A. J. (2001) What good is a volatility model? Quantitativeഀ Finance, Vol 1, pg. 237-45.ഀ ഀ Engle R. F. si White H. (1999) Cointegration, causality, and forecasting, Oxford :ഀ Oxford University Press.ഀ ഀ Federal Deposit Insurance Corporation (FDIC) (1998) Managing the Crisis: Theഀ FDIC and RTC Experience, 1980–1990, Washington, D.C.: FDIC.ഀ ഀ Federal Reserve Board (2000) Fedwire Statistics: Annual Volume and Value.ഀ Retrieved at: http://www.Federalreserve.gov/PaymentSystems/FedWire.ഀ ഀ Figlewski S. (2004) Forecasting Volatility, Working Paper, NYU Stern School ofഀ Business, Retrieved atഀ http://pages.stern.nyu.edu/~sfiglews/Docs/Forecasting%20Volatility.pdfഀ ഀ Franses P. H. si Van Dijk D. (1996), Forecasting Stock Market Volatility Using (Non-ഀ Linear) GARCH Models, Journal of Forecasting, Vol. 15, pg. 229-235.ഀ ഀ French K. R., Schwert G. W. si Stambaugh R. F. (1987) Expected Stock Returns andഀ Volatility, Journal of Financial Economics, Vol. 19(1), pg. 3-29.ഀ ഀ Furfine C. (2003) Interbank Exposures: Quantifying the Risk of Contagion, Journal ofഀ Money, Credit, and Banking, Vol. 35(1), pg. 111-128.ഀ ഀ George E. A. J. (1998) The Lew Lady of Threadneedle Street. Governor’s Speech,ഀ London: Bank of England.ഀ ഀ Glosten L. R., Jagannathan R. si Runkle D. E. (1993) On the relation between theഀ expected value and the volatility of the nominal excess return on stocks, Journal ofഀ Finance, Vol. 48(5), pg. 1779-1801.ഀ ഀ Gourieroux C. si Jasiak J. (2002) Nonlinear autocorrelograms with application toഀ intertrade durations, Journal of Time Series Analysis, Vol. 23, pg. 127-154.ഀ 94. Hamilton J. D. (1994) Time Series Analysis, Princeton: Princeton University Press.ഀ ഀ Hancock D., Wilcox J. si Humphrey D (1996) Intraday management of bankഀ reserves, Journal of Money, Credit, and Banking, Vol. 28(4), pg. 870-908.ഀ ഀ Hansen P. R. (2001) An unbiased and powerful test for superior predictive ability,ഀ Working Papers 2001-2006, Brown University, Department of Economics.ഀ ഀ Hansen P. R. si Lunde A. (2001) A comparison of volatility models: does anythingഀ beat a GARCH(1,1)?, Working Paper Series Lr. 84, Aarhus School of Business,ഀ Centre for Analytical Finance, pg. 1-41.ഀ ഀ Hansen P. R. si Lunde A. (2003) Does anything Beat a GARCH(1,1)? A Comparisonഀ Based on Test for Superior Predictive Ability, Proceedings for The 2003 IEEEഀ International Conference on Computational Intelligence for Financial Engineering,ഀ pg. 301-307.ഀ ഀ Hansson B. si Hördahl P. (2005) Forecasting Variance Using Stochastic Volatilityഀ and GARCH, The European Journal of Finance, Vol. 11(1), pg. 33-57.ഀ ഀ Hartia S. si Scutaru C. (1987) Model for simulating the economic efficiency of landഀ improvement work, Economic Computation and Economic Cybernetics Studies andഀ Research, Vol. 22(1), pg. 57-59.ഀ ഀ Harvey A. C., Ruiz E. si Shephard N. (1994) Multivariate stochastic variance models,ഀ Review of Economic Studies, Vol. 61, Editia 2, pg. 247-64.ഀ ഀ Hellwig M. (1994) Liquidity Provision, Banking, and the Allocation of Interest Rateഀ Risk, European Economic Review, Vol. 38, pg. 1363-1389.ഀ ഀ Hendershott P. H. (2000) Property asset bubbles: evidence from the Sydney officeഀ market, Journal of Real Estate Finance and Economics, Vol. 20(1), pg. 67-81.ഀ ഀ Herring R. si Wachter S. (1999) Real Estate Booms and Banking Busts—Anഀ International Perspective, Occasional Paper no. 58, Washington, D.C.: Group ofഀ Thirty. Paper presented at the Wharton Conference on Asian Twin Financial Crisis,ഀ March, Long Term Credit Bank, Tokyo.ഀ ഀ Hol. E. si Koopman S. J. (2002) Forecasting the Variability of Stock Indexഀ Returnswith Stochastic Volatility Models and Implied Volatility, Tinbergen Instituteഀ Discussion Papers, Nr. 00-104/4, pg. 1-23.ഀ ഀ Jacquier E., Polson N. G. si Rossi P. E. (1994) Bayesian Analysis of Stochasticഀ Volatility Models, Journal of Business and Economic Statistics, Vol. 12(4), pg. 371-ഀ 89.ഀ ഀ Jones D. si King K. (1995), The implementation of prompt corrective action: anഀ assessment, Journal of Banking and Finance, Vol. 19(3-4), pg. 491–510.ഀ ഀ Jordan J., Peek J. si Rosengren E. (2000) The Market Reaction to the Disclosure ofഀ Supervisory Actions: Implications for Bank Transparency, Journal of Financialഀ Intermediation, Vol. 9(3), pg. 298–319.ഀ ഀ Jorion P. (1995), Predicting volatility in the foreign exchange market, Journal ofഀ Finance, Vol. 50(2), pp.507-528.ഀ ഀ Jorion P. (1996), Risk and turnover in the foreign exchange market, in Franke, J.A.,ഀ Galli, G., Giovannini, A. (Eds), The Microstructure of Foreign Exchange Markets,ഀ Chicago, IL.: Chicago University Press.ഀ ഀ Kaminsky G. si Reinhart C. (1998) On Crises, Contagion, and Confusion. Workingഀ Paper, December. Washington, D.C.: George Washington University.ഀ ഀ Kane E. J. (1980) Regulation, savings and loan diversification, and the flow ofഀ housing finance. In Savings and Loan Asset Management under Deregulation, pg.ഀ 81–109, San Francisco: Federal Home Loan Bank of San Francisco, December.ഀ ഀ Kaufman G. G. (1994) Bank Contagion: A Review of the Theory and Evidence,ഀ Journal of Financial Services Research, Vol. 8, pg. 123–50.ഀ ഀ Kaufman G G. (1995a) Comment on Systemic Risk. In Research in Financialഀ Services: Banking, Financial Markets, and Systemic Risk, vol. 7, edited by George G.ഀ Kaufman, pg. 47–52, Greenwich, Conn.: JAI.ഀ ഀ Kaufman, G. G. (1995b) The U.S. banking debacle of the 1990s: overview andഀ lessons, Financier, Vol. 2, pg. 9–26.ഀ ഀ Kaufman G. G. (1996) Bank Failures, Systemic Risk, and Bank Regulation. Catoഀ Journal, Vol. 16(1), pg. 17–45.ഀ ഀ Kaufman G. G. (1999) Central banks, asset bubbles, and financial stability. Inഀ Central Banks, Monetary Policies, and the Implications for Transition Economies,ഀ edited by Mario Blejer and Marko Skreb, pg. 143–183, Boston: Kluwer.ഀ ഀ Kaufman G. G. (2000a) Banking and currency crises and systemic risk: a taxonomyഀ and review, Financial Markets, Institutions, and Instruments, Vol. 9, pg. 69–131.ഀ ഀ Kaufman G. G. si Steven Seelig (2002) Post-resolution treatment of depositors atഀ failed banks and the severity of bank crises, systemic risk, and too-big-to-fail,ഀ Economic Perspectives, Federal Reserve Bank of Chicago, pg. 27–41.ഀ ഀ Khalid A. M. si Rajaguru G. (2006) Financial Market Contagion or Spillovers.ഀ Evidence from Asian Crisis Using Multivariate GARCH Approach, Bond University,ഀ Australia.ഀ ഀ Klaasen F. (2002) Improving GARCH volatility forecasts, Empirical Economics,ഀ Vol. 27, pg. 363-394.ഀ ഀ Klein A. (2004) Credit raters exert international influence, The Washington Post.ഀ Retrieved on October 23rd 2008 at: http://www.washingtonpost.com/ac2/wpdyn/ഀ A5572-2004Nov22?language=printerഀ ഀ Koopman S. J., Jungbacker B. si Hol E. (2004) Forecasting daily variability of theഀ S&P 100 stock index using historical, realised and implied volatility measurements,ഀ Tinbergen Institute Discussion Papers, 04-016/4.ഀ ഀ Kumar S.S.S (2006) Comparative performance of volatility forecasting models inഀ Indian markets, Decision, Vol. 33, Vol. 2, pg. 26-40.ഀ ഀ Lamark B., Siegert P. J. si Walle J. (2005) Volatility modeling: from ARMA toഀ ARCH, Global Finance, Vol. 15, Nr. 2, pg. 83-101.ഀ ഀ Liu H.-C., Lee Y.-H. si M.C. Lee (2009) Forecasting China stock Markets Volatilityഀ via GARCH Models Under Skewed-GED Distribution, Journal of Money, Investmentഀ and Banking, Editia 7, pg. 5-15.ഀ ഀ Lupu R. (2006) Using BDS to check the forecasting power of the stochastic volatilityഀ model, Economic Computation and Economics Cybernetics Studies and Research,ഀ Vol. 2006 (1-2), pg. 223-.ഀ ഀ Mapa D. S. (2004) A forecast comparison of financial volatility models: GARCHഀ (1,1) is not enough, The Philippine Statistician, Vol. 53, pg. 1-10.ഀ ഀ Marcucci J. (2005) Forecasting stock market volatility with regime-switchingഀ GARCH models, Studies in Lonlinear Dynamics & Econometrics, Vol. 9(4), Articleഀ 6.ഀ ഀ Marin D. si Ruxanda G. (2006) Selections modeling under conditions of risk andഀ uncertainty, Vol. 2006 (1-2).ഀ ഀ Martens M. (2001) Forecasting daily exchange rate volatility using intraday returns,ഀ Journal of International Money and Finance, Vol. 20(1), pg. 1-23.ഀ ഀ Matei M. si Cabat D. (2003) Romania Section, Lew Europe Quarterlyഀ Macroeconomic Update, Editia 10 (Ian.), pg. 29-33, Milano: UniCredito Italiano.ഀ ഀ Matei M. si Cabat D. (2003) Romania Section, Lew Europe Quarterlyഀ Macroeconomic Update, Editia 11 (Apr.), pg. 26-30, Milano: UniCredito Italiano.ഀ ഀ Matei M. si Cabat D. (2003) Romania Section, Lew Europe Quarterlyഀ Macroeconomic Update, Editia 12 (Iul.), pg. 31-35, Milano: UniCredito Italiano.ഀ ഀ Matei M. (2003) Romania section, Lew Europe Quarterly Macroeconomic Update –ഀ special issue 2004 scenario, Editia 13 (Oct.), pg. 87-100, Milano: UniCreditoഀ Italiano.ഀ ഀ Matei M. (2004) Romania section, Lew Europe Quarterly Macroeconomic Update,ഀ Editia 14 (Ian.), pg. 51-57, Milano: UniCredit Group.ഀ ഀ Matei M. (2004) Romania section, Lew Europe Quarterly Macroeconomic Update,ഀ Editia 15 (Mai), pg. 39-44, Milano: UniCredit Group.ഀ ഀ Matei M. et al. (2004) Household Wealth in Lew Europe: Towards the EU, Editiaഀ Iulie, pg. 1-36, Milano: UniCredit Group.ഀ ഀ Matei M. (2004) Romania Section, Lew Europe Quarterly Macroeconomic Update,ഀ Editia 16 (Iul.), pg. 37-42, Milano: UniCredit Group.ഀ ഀ Matei M. (2004) Romania Section, Lew Europe Quarterly Macroeconomic Update –ഀ special Edi$ia 2005 scenario, Editia 17 (Oct.), Milano: UniCredit Group.ഀ ഀ Matei M. et al. (2004) Lew Europe Focus: Impact of an oil shock in the Lew Europe,ഀ Editia Decembrie, pg. 1-8, Milano: UniCredit Group.ഀ ഀ Matei M. et al. (2004) Lew Europe Focus: Economic cycle in the Lew Europe:ഀ converging towards the EMU, Editia Decembrie, pg. 1-8, Milano: UniCredit Group.ഀ ഀ Matei M. (2005) Romania Section, Lew Europe Quarterly Macroeconomic Update,ഀ Editia 18 (Feb.), pg. 45-50, Milano: UniCredit Group.ഀ ഀ Matei M. si Popescu M. C. (2005) Romania Section, Lew Europe Quarterlyഀ Macroeconomic Update, Editia 19 (Mai), pg. 45-50, Milano: UniCredit Group.ഀ ഀ Matei M. et al. (2005) Lew Europe Focus: Exchange Rates Dynamics towards theഀ Euro, Editia Aprilie, pg. 1-18, Milano: UniCredit Group.ഀ ഀ Matei M. si Popescu M. C. (2005) Romania Section, Lew Europe Quarterlyഀ Macroeconomic Update, Editia 20 (Iul.), pg. 45-50, Milano: UniCredit Group.ഀ ഀ Matei M. et al. (2002 - 2005), Lew Europe Biweekly Monitor, pg. 1- 30, Milano:ഀ UniCredit Group.ഀ ഀ Matei M. (2009) Assessing volatility forecasting models: why GARCH models takeഀ the lead, Romanian Journal for Economic Forecasting, Bucharest: Institute forഀ Economic Forecasting, Romanian Academy.ഀ ഀ McAndrews J. si Rajan S. (2000), The timing and funding of Fedwire funds transfers,ഀ Economic Policy Review, Federal Reserve Bank of New York, Vol. 6(2), pg. 17-32.ഀ ഀ McMillan D. si Speight A. E. H. (2004) Daily Volatility Forecasts: Reassessing theഀ Performance of GARCH Models, Journal of Forecasting, Vol. 23, pg. 449-460.ഀ ഀ McMillan D., Speight A. E. H. si Gwilym O. (2000), Forecasting UK stock marketഀ volatility, Applied Financial Economics, Vol. 10, pg. 435-448.ഀ ഀ Melino A. si Turnbull S.M. (1990) Pricing foreign currency options with stochasticഀ volatility, Journal of Econometrics, Vol. 45, pg. 239-265.ഀ ഀ Mishkin F. (1991) Asymmetric information and financial crises: a historicalഀ perspective. In Financial Markets and Financial Crises, edited by R. Glenn Hubbard,ഀ pg. 69–108, Chicago: University of Chicago Press.ഀ ഀ Mishkin F. (1995) Comment on systemic risk. In Research in Financial Services:ഀ Banking, Financial Markets, and Systemic Risk, Vol. 7, edited by George Kaufman,ഀ pg. 31–45, Greenwich, Conn.: JAI.ഀ ഀ Moody’s Investors Service (1991, Reprinted 1995) Global Credit Analysis. London:ഀ IFR Publishing Ltd.ഀ 57ഀ ഀ Nastac I., Dobrescu E. si Pelinescu E. (2007) Neuro-adaptive model for financialഀ forecasting, Romanian Journal for Economic Forecasting, 8(3): 19-41.ഀ ഀ Nelson D. B. (1991) Conditional heteroskedasticity in asset returns: A new approach,ഀ Econometrica, Vol. 59, pg. 347-370.ഀ ഀ Nicholls D. F. si Quinn B. G. (1982) Random Coefficient Autoregressive Model: Anഀ introduction, New York, Springer-Verlag.ഀ ഀ O’Connor J. F. T. (1938) The Banking Crisis and Recovery under the Rooseveltഀ Administration. Chicago: Callaghan and Co.ഀ ഀ Pafka S. si Kondor I. (2001) Evaluating the RiskMetrics methodology in measuringഀ volatility and Value-at-Risk in financial markets, retrieved July 25th, atഀ http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.27.4459.ഀ ഀ Pagan A. R. si Schwert G. W. (1989) Alternative models for conditional stockഀ volatility, NBER Working Paper Series, Nr. 2955ഀ ഀ Pederzoli C. (2006) Stochastic volatility and GARCH: a comparison based on UKഀ stock data, The European Journal of Finance, 12(1): 41-59.ഀ ഀ Peltzman S. (1970) Capital investment in commercial banking, Journal of Politicalഀ Economy, Vol. 78, pg. 1–26.ഀ ഀ Pierre E. F. (1998) Estimating EGARCH-M models: science or art?, The Quarterlyഀ Review of Economics and Finance, 38(2): 167-180.ഀ ഀ Polasek W. si Ren L. (2001) Volatility analysis during the Asia crisis: a multivariateഀ GARCH-M model for stock returns in the US, Germany and Japan, Appliedഀ Stochastic Models in Business and Industry, 17(1): 93-108.ഀ ഀ Poon S. H. si Granger C. (2001) Forecasting Volatility in Financial Markets: Aഀ Review, Journal of Economic Literature, Vol XLI, pg. 478-539.ഀ ഀ Poon S. H. si Taylor S. J. (1992) Stock returns and volatility: An empirical study ofഀ the UK stock market, Journal of Banking and Finance, Vol. 16, pg. 37-59.ഀ ഀ Raimbourg P. (1990) Les Agences de Rating, Paris: Economica.ഀ ഀ Rochet J.-C. si Tirole J. (1996) Interbank lending and systemic risk, Journal ofഀ Money Credit and Banking, Vol. 28, pg. 733-762.ഀ ഀ Santos M. si Woodford M. (1997) Rational asset pricing bubbles, Econometrica, 65(1): 19-57.ഀ ഀ Schwert G. W. (1990) Stock market volatility, Financial Analysts Journal, Vol. 46,ഀ pg. 23-34.ഀ ഀ Schwert G. W. (1990) Stock volatility and the crash of ’87, The Review of Financialഀ Studies, 3(1): 77-102.ഀ ഀ Schwert G. W. (1997) Stock market volatility: ten years after the crash, LBERഀ Working Paper, Lr. 6381.ഀ ഀ Schwert G. W. si Seguin P. J. (1990) Heteroskedasticity in stock returns, The Journalഀ of Finance, XLV(4): 1129-1155.ഀ ഀ Scott K. si Mayer T. (1971) Risk and regulation in banking: some proposals forഀ Federal Deposit Insurance reform, Stanford Law Review, Vol. 23, pg. 857–916.ഀ ഀ Scutaru C., Saman C. si Stanica C. (2008) Predictability and complexity inഀ Macroeconomics. The case of gross fixed capital formation in the Romanianഀ economy, Romanian Journal for Economic Forecasting, 9(4): 196-205ഀ ഀ Sheldon G. si Maurer M. (1998) Interbank lending and systemic risk: an empiricalഀ analysis for Switzerland, Swiss Journal of Economics and Statistics, 134: 685–704.ഀ ഀ Silvennoinen A. si Teräsvirta (2008) Multivariate GARCH models, CREATESഀ (Center for research in Econometric Analysis of Time Series) Research Paper, Nr. 6.ഀ To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds.ഀ Handbook of Financial Tome Series, New York: Springer.ഀ ഀ Smith L. I. (2002) A tutorial on Principal Component Analysis, retrieved on Marchഀ 15th, atഀ http://www.cs.otago.ac.nz/cosc453/student_tutorials/principal_components.pdfഀ ഀ Taylor S. J. (1994) Modeling stochastic volatility: a review and comparative study,ഀ Mathematical Finance, 4(2): 183-04.ഀ ഀ The Technical Committee of the International Organization of Securitiesഀ Commissions (IOSCO) (2003) Report on the Activities of Credit Rating Agencies.ഀ Retrieved on October 20th 2008 at:ഀ http://www.iosco.org/library/pubdocs/pdf/IOSCOPD153.pdfഀ ഀ The Technical Committee of the International Organization of Securitiesഀ Commissions (IOSCO) (2003) IOSCO Statement of Principles Regarding theഀ Activities of Credit Rating Agencies. Retrieved on October 20th 2008 at:ഀ http://www.iosco.org/library/pubdocs/pdf/IOSCOPD151.pdfഀ ഀ Tsay R. S. (1987) Conditional heteroskedastic time series models, Journal ofഀ American Statistical Association, Vol. 82, pg. 590-604.ഀ ഀ Tsay R. S. (2005) Analysis of financial time series, 2nd edition, New Jersey: Wileyഀ Series in Probability and Statistics.ഀ ഀ Tse Y. K. (1991) Stock return volatility in the Tokyo stock exchange, Japan and theഀ World Economy, Vol. 3, pg. 285-298.ഀ ഀ Tse Y. K. si Tung S. H. (1992) Forecasting volatility in the Singapore stock market,ഀ Asia Pacific Journal of Management, 9(1): 1-13.ഀ ഀ U.S. Shadow Financial Regulatory Committee (2001) The Basel Committee’sഀ Revised Capital Accord Proposal, Policy statement Lo. 169, Washington, D.C.ഀ ഀ Van der Weide R. (2002) GO-GARCH: A multivariate generalized Orthogonalഀ GARCH model, Journal of Applied Econometrics, Vol. 17, pg. 549-64.ഀ ഀ Von Thadden E.-L. (1998) Intermediated versus direct investment: optimal liquidityഀ provision and dynamic incentive compatibility, Journal of Financial Intermediation,ഀ Vol. 7 (2), pg. 177-197.ഀ ഀ West K. D. si Cho D. (1995) The predictive ability of several models of exchangeഀ rate volatility, Journal of Econometrics, 69(2): 367-391.ഀ ഀ White H. (2000) A reality check for data snooping, Econometrica, Econometricഀ Society, 68(5): 1097-1126.ഀ ഀ Whitehouse M. (1999) Frustration soars for Russian bank depositors, Wall Streetഀ Journal, April 8.ഀ ഀ Wicker E. (1996) The Banking Panics of the Great Depression, Cambridge, England:ഀ Cambridge University Press.ഀ ഀ Zakoian J.-M. (1994) Threshold heteroskedasticity models, Journal of Economicഀ Dynamics and Control, Vol. 15, pg. 931-955.ഀ ഀ Zhou R. (2000) Understanding intraday credit in large-value payment systems,ഀ Economic Perspectives, Federal Reserve Bank of Chicago, XXIV, pg. 29–44.