Research
Working Papers
Pascalau R. (2007), "Testing for a Unit Root in the Asymmetric Nonlinear Smooth Transition Framework," this version - August 2007
Fabel, O. and Pascalau R. (2007), "Recruitment of Seemingly Overeducated Personnnel: Insider-Outsider Effects on Fair Employee Selection Practices", this version - May 2008
C. Thomann, B. Gas, R. Pascalau and J.-Matthias Graf von der Schulenburg (2007), "Corporate Management of Highly Dynamic Risks: The Case of Terrorism Insurance in Germany", this version - December 2007
Pascalau R. (2007), "Unit Root Tests with Smooth Breaks: An Application to the Nelson-Plosser Data Set", this version - February 2007
Pascalau R. (2007), "Unconditional Mean, Volatility and the Fourier-Garch Representation", this version - February 2007
Pascalau R. (2007), Productivity Shocks, Unemployment Persistence and the Adjustment of Real Wages in OECD countries", this version - July 2007
Pascalau R. (2003), "Trade-off between the exchange rate and inflation" , Masters Dissertation paper, DOFIN, ASE, Bucharest
Miscellanous
RATS Code
M_TAR.SRC - computes the Momentum and Threshold Autoregressive Unit Root Test when the attractor is a level. Download it here.
M_TAR_TREND.SRC - computes the Momentum and Threshold Autoregressive Unit Root Test when the attractor is a linear time trend. Download it here.
TAR_COINT.SRC - computes the M-TAR based Cointegration Test. Download it here.
Gauss Code
Code to find the frequency that minimizes the Residual Sum of Squares of the Flexible Fourier Stationarity Test. See Becker, R., Enders, W., and Lee, J. (2006) for details.
Code to perform the Flexible Fourier Stationarity Test. See Becker, R., Enders, W., and Lee, J. (2006) for details.
Financial Applications
Programs originally written using C++ (Builder) and displayed here using PHP:
Bivariate Normal Distribution Calculator
Bond Price, Duration and Convexity Calculator
Calculator of Call and Put Option Prices under the assumption of a Mean Reverting Geometric Brownian Motion
Calculator of Implied Volatilities under the assumption of a Mean Reverting Geometric Brownian Motion
'Greeks' Calculator when the underlying follows an Arithmetic Brownian Motion
'Greeks' Calculator when the underlying follows a Geometric Brownian Motion'Value at Risk' Calculator
'First To Default' Option Calculator: A Copula Approach. Click here for a description of the program.