reasons:(1) the shocks are serially correlated arid hence partially forecast able from their past history, (2) each trader … an infinite regress problem in expectations associated with their desire to forecast the beliefs of others, the beliefs …

In dieser Untersuchung wird gezeigt, wie neuere ökonometrische Verfahren zur Modellierung und Prognose von … von einer konstanten Varianz ausgeht, bei der Prognose von Volatilitäten überlegen ist. …

for assets will remain high when the baby boomers retire. Based on his forecast of continued high demand for capital …

Mandelbrot's "range over standard deviation" or R/S statistic, for which the relevant asymptotic sampling theory is derived via … functional central limit theory. This test is applied to daily, weekly, monthly, and annual stock returns indexes over several …

Recently, several institutions have increased their forecast horizons, and many institutions rely on their past … forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be … accomplished if there are only very few errors available for the new forecast horizons. It extends upon the results of Knüppel …