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Common and Uncommon Sources of Growth in Asia Pacific

Weber, Enzo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

This paper embarks to analyse the role of exports and investment supposed to be major sources of economic growth in Asia Pacific. Therefore at first, the cointegration properties of exports, capital formation and GDP are examined in vector error correction models (VECMs). The results confirm the...

Persistent link: https://www.econbiz.de/10005677979

Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe

Brüggemann, Ralf; Lütkepohl, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005

A system of U.S. and euro area short- and long-term interest rates is analyzed. According to the expectations hypothesis of the term structure the interest rate spreads should be stationary and according to the uncovered interest rate parity the difference between the U.S. and euro area longterm...

Persistent link: https://www.econbiz.de/10005677983

Volatility and Causality in Asia Pacific Financial Markets

Weber, Enzo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in …

Persistent link: https://www.econbiz.de/10005677989

Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model

Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …

Persistent link: https://www.econbiz.de/10005677990

Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality

Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. TheSmolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

Persistent link: https://www.econbiz.de/10005677995

What are the Effects of Fiscal Policy Shocks?

Mountford, Andrew; Uhlig, Harald - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005

We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Unlike most of the previous literature this approach does not require that the contemporaneous reaction of some variables to fiscal policy shocks be set to zero or need additional...

Persistent link: https://www.econbiz.de/10005677998

Modelling Financial High Frequency Data Using Point Processes

Bauwens, Luc; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

Persistent link: https://www.econbiz.de/10005678003

Value-at-Risk and Expected Shortfall when there is long range dependence.

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

Persistent link: https://www.econbiz.de/10005678005

The Influence of the Business Cycle on Mortality

Reichmuth, Wolfgang H.; Sarferaz, Samad - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

We analyze the impact of short-run economic fluctuations on age-specific mortality using Bayesian time series econometrics and contribute to the debate on the procyclicality of mortality. For the first time, we examine the differing consequences of economic changes for all individual age...

Persistent link: https://www.econbiz.de/10005678021

Who Leads Financial Markets?

Weber, Enzo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are …

Persistent link: https://www.econbiz.de/10005678027