The paper explores the possibilities of creating an econometric model for making short-term forecasts of the Gross Domestic Product of Bosnia and Herzegovina (GDP of B&H). Its aim is to determine the most representative and most efficient model for forecasting the quarterly GDP of B&H. This is the first paper that simultaneously compares ARIMA models, bridge models and factor models in three different time periods. All variables are available for the period of 2006q1-2016q4. The final choice of the model for forecasting the quarterly GDP of B&H was selected on the basis of a comparative analysis of the predictive efficiency of the analysed models. Based on the obtained results, the most efficient model for forecasting quarterly GDP of B&H is the bridge model, which includes four variables as regressor: Retail sale of other goods, Total loans, Manufacturing and Manufacture of food products.
In this paper authors research: how changes on the capital markets (developed financial markets and financial markets of transitional countries) determine investor's decision about the scope of international portfolio diversification, in other words about the scope of reduction of system risks, and whether beta coefficient movements on the financial market of BandH (beta coefficient estimation on BandH financial market are made) can be an indicator for investors in which stocks to invest.
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