Mit der fortschreitenden Digitalisierung von Wirtschaft und Gesellschaft wächst die Bedeutung von Big Data Analytics, maschinellem Lernen und Künstlicher Intelligenz für die Analyse und Pognose ökonomischer Trends. Allerdings werden in wirtschaftspolitischen Diskussionen diese Begriffe...

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

The paper determines empirically the local conditions and policy environment that influence the absorptive capacity of credit in the Nigerian economy for the period 1993:Q1 to 2013:Q4 using fully modified least squares. Findings show that credit is growth-enhancing, even when trade openness,...

Nowadays, academic journals of high standing rarely accept a conceptual idea in a paper not instantly accompanied by econometric estimates. The idea would almost certainly get rejected. Empirical validation based on past statistical data has produced an unfortunate backward orientation in...

This paper improves on the issues of extreme data points and heterogeneity found in the linear programming data envelopment analysis (DEA) by presenting a cluster-adjusted DEA model (DEA with cluster approach). This analysis, based on efficiency, determines the number of clusters via Gap...

The Austrian objection to mathematical and statistical work in economics, because of the absence of constants, is re-examined in the light of large micro-data sets available today. The negative evidence regarding the Law of one Price is described and then expanded to a critique of the practice...

Search engine query data deliver insight into the behavior of individuals who are the smallest possible scale of our economic life. Individuals are submitting several hundred million search engine queries around the world each day. We study weekly search volume data for various search terms from...

It is well-known that financial asset returns exhibit fat-tailed distributions and long-term memory. These empirical features are the main objectives of modeling efforts using (i) stochastic processes to quantitatively reproduce these features and (ii) agent-based simulations to understand the...

For an intriguing variety of switching processes in nature, the underlying complex system abruptly changes from one state to another in a highly discontinuous fashion. Financial market fluctuations are characterized by many abrupt switchings creating upward trends and downward trends, on time...

We introduce a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. For a stationary market the structure of the model, the order flow rates of the different kinds of order types and the used price time...