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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - Deutsche Bundesbank - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10005083101

Unit roots and cointegration in panels

Breitung, Jörg; Pesaran, Mohammad Hashem - Deutsche Bundesbank - 2005

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and...

Persistent link: https://www.econbiz.de/10005083230

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Kilian, Lutz; Gonçalves, Sílvia - Deutsche Bundesbank - 2002

residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are …-toimplement alternative bootstrap proposals for stationary autoregressive processes with m.d.s. errors subject to possible conditional … heteroskedasticity of unknown form. These proposals are the fixed-design wild bootstrap, the recursive-design wild bootstrap and the …

Persistent link: https://www.econbiz.de/10005083322

A single composite financial stress indicator and its real impact in the euro area

Islami, Mevlud; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2013

In this paper, we construct a single composite financial stress indicator (FSI) which aims to predict developments in the real economy in the euro area. Our FSI was shown to perform better than the Euro STOXX 50 volatility index for the recent banking crisis and the euro-area sovereign debt...

Persistent link: https://www.econbiz.de/10010957158

Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach

Gaisser, Sandra; Memmel, Christoph; Schmidt, Rafael; … - Deutsche Bundesbank - 2009

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...

Persistent link: https://www.econbiz.de/10005082793

A note on the coefficient of determination in regression models with infinite-variance variables

Loretan, Michael Stanislaus; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2007

Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on...

Persistent link: https://www.econbiz.de/10005083093

The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity

Kim, Jeong-Ryeol - Deutsche Bundesbank - 2003

In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth...

Persistent link: https://www.econbiz.de/10005083121

Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept

Knüppel, Malte - Deutsche Bundesbank - 2004

In this paper, we investigate the implications of the two concepts of asymmetry defined by Sichel (1993) - deepness and steepness - for first-order autoregressive processes with a Markov-switching intercept. In order to do so, we derive the two required formulas determining the coefficient of...

Persistent link: https://www.econbiz.de/10005083167

Testing for structural breaks in dynamic factor models

Breitung, Jörg; Eickmeier, Sandra - Deutsche Bundesbank - 2009

From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks....

Persistent link: https://www.econbiz.de/10005083187

Evaluating the calibration of multi-step-ahead density forecasts using raw moments

Knüppel, Malte - Deutsche Bundesbank - 2011

The evaluation of multi-step-ahead density forecasts is complicated by the serial correlation of the corresponding probability integral transforms. In the literature, three testing approaches can be found which take this problem into account. However, these approaches can be computationally...

Persistent link: https://www.econbiz.de/10009646497