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Volume 9, Issue 3 - September 30, 2014
JAQM Volume 9, Issue 3 - September 30, 2014
Modeling the European Central Bank Official Rate: A Stochastic Approach (p )
Maria Francesca CARFORA,
Following its main task of price stability in the euro area, the European Central Bank (ECB) increases or decreases interest rates in order to cool inflation or respectively to support economic growth. Monetary policy shows delayed effects on inflation and thus the ECB modifies interest rates on the basis of forecasts about the state of economy over the coming quarters. Aim of our contribution is to provide a stochastic model for the ECB official rate taking into account the expectations on the future state of economy. We propose a non homogeneous Poisson process to describe the intervention times of the ECB. In particular the jump process parameters depend on the evolution of the economic cycle as modeled by a MS-AR model. We show an application on suitably aggregated European data.
Measuring the Effects of Usability Issues Affecting an Enjoyable Learning Experience – A Path Analysis Approach (p )
Educational applications based on augmented reality (AR) are integrating real objects into a computer environment thus creating a more engaging and enjoyable learning environment for students. The interaction with real objects in an AR setting may lead to usability problem that affect the extent to which the user learning experience is perceived as enjoyable. The objective of this paper is to measure and analyze the negative influence of usability issues on the perceived enjoyment of using a Chemistry AR-based application. In order to better understand and explain students’ perceptions by measuring both direct and indirect effects a two-step approach was taken. During the first step a prediction model is developed based on multi-level multiple linear regression. In the second step the model is refined and estimated using path analysis. The results revealed four factors having a significant influence: quality of the see-through screen, ease of reading the information on the screen, ease of Chemical elements selection, and fatigue.
Ranking Capital Markets Efficiency: The Case of Twenty European Stock Markets (p )
Olivia Andreea BACIU
This study investigates the deviations from efficiency of twenty European Stock Markets using three measures: long-term memory, fractal dimension and efficiency index of Kristoufek and Vosvrda (2012). The markets are ranked according to each measure on a period of fifteen years but also on three sub-periods of time. The sub-periods are chosen depending on the phenomena that has marked the stock market evolution. The results show that the developed markets are closer to efficiency than the emerging ones. Overall, the most efficient markets are the ones of UK, Sweden, Switzerland or France while among the least efficient ones can be mentioned the markets of Bulgaria, Czech Republic, Greece or Slovakia.
The Use of the Premium Calculation Principles in Actuarial Pricing Based Scenario in a Coherent Risk Measure (p )
Hernandez Solis MONTSERRAT
Calculation principles enable the development of the actuarial pricing process in the insurance sector both of life and of non-life. Among all principles assessed in this article we have chosen those verifying the so-called coherency criterion (Artzner, P. Delbaen, F. Eber, JM. Heath, D. (1999)), performing the theoretical-mathematic reasoning of such coherency criterion for all of them. Once those principles, more specifically two – the principle of net premium and the principle based on the distortion function in the form of power - are applied for the calculation of the risk premium both to a general and specific extent they will be applied to the Makeham Law for insurances with death cover: the whole life insurance.
Geostrategic Resources – Non-Ferrous Metals – Require an Appropriate Management (p )
Natural resources, in general, hold a geostrategic connotation due to their importance. The geostrategic interest mainly targets oil, natural gases and non-ferrous ore deposits. These resources can be found in Romania’s subsoil in various quantities, and their exploitation and processing started early on. Non-ferrous deposits stand out as a particular case, which also explains the start of this industry in Romania simultaneously with those around the world.