Seit 1995 führt die Projektgruppe ,IAB-Betriebspanel"" regelmäßig ein jährliches Forschungstreffen durch. In dieser Tradition fand am 4./5. Oktober 2001 die 7. Veranstaltung dieser Art zum Thema ,Betriebliche Reorganisation und Fachkräftebedarf"" in Iphofen statt. Der Band dokumentiert die...

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...

We show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two equivalent algorithms are proposed to optimally (in the mean squared...

We analyze daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975 - 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering we fit a GARCH(l,l)-model with leptokurtic...