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Renewed Momentum in the German Housing Market: Boom or Bubble?
Chen, Xi; Funke, Michael - CESifo - 2013
The renewed momentum in the German housing market has led to concerns that Germany is vulnerable to asset price shocks. In this paper, we apply recently developed recursive unit root tests to detect the beginning and the end of potential speculative bubbles in Germany over the sample period...
Persistent link: https://www.econbiz.de/10010877826
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Nowcasting Regional GDP: The Case of the Free State of Saxony
Henzel, Steffen; Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2015
We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and international) for the years 1998 to 2013. We explicitly use the ragged-edge data structure and consider the different information sets faced by a regional forecaster within each...
Persistent link: https://www.econbiz.de/10011273092
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How Informative are the Subjective Density Forecasts of Macroeconomists?
Kenny, Geoff; Kostka, Thomas; Masera, Federico - CESifo - 2011
of expert densities during the recent period of macroeconomic volatility. However, our analysis also reveals clear …
Persistent link: https://www.econbiz.de/10009386355
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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem; Pick, Andreas - CESifo - 2008
estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …This paper considers forecast averaging when the same model is used but estimation is carried out over different … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …
Persistent link: https://www.econbiz.de/10005094212
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The Information Content of KOF Indicators on Swiss Current Account Data Revisions
Jacobs, Jan; Sturm, Jan-Egbert - CESifo - 2008
This paper analyses revisions of Swiss current account data, taking into account the actual data revision process and the implied types of revisions. In addition we investigate whether the first release of current account data can be improved upon by the use of survey results as gathered by the...
Persistent link: https://www.econbiz.de/10005181544
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Ranking of VaR and ES Models: Performance in Developed and Emerging Markets
Zikovic, Sasa; Filer, Randall - CESifo - 2012
based on volatility updating and nonparametric mirrored historical simulation. ES backtesting results are similar to VaR … perform significantly better in ES estimation. …
Persistent link: https://www.econbiz.de/10010586077
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Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets
Zikovic, Sasa; Filer, Randall - CESifo - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the …
Persistent link: https://www.econbiz.de/10008572519
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Optimal Asset Allocation with Factor Models for Large Portfolios
Pesaran, M. Hashem; Zaffaroni, Paolo - CESifo - 2008
This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...
Persistent link: https://www.econbiz.de/10005765686
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Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios
Pesaran, M. Hashem; Zaffaroni, Paolo - CESifo - 2009
This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...
Persistent link: https://www.econbiz.de/10008583641
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Education and Health: The Role of Cognitive Ability
Bijwaard, Govert; Kippersluis, Hans van; Veenman, Justus - CESifo - 2013
We aim to disentangle the relative contributions of (i) cognitive ability, and (ii) education on health and mortality using a structural equation model suggested by Conti et al. (2010). We extend their model by allowing for a duration dependent variable, and an ordinal educational variable. Data...
Persistent link: https://www.econbiz.de/10010877909