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Crisis? What Crisis? Currency vs. Banking in the Financial Crisis of 1931

Ritschl, Albrecht; Sarferaz, Samad - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

This paper examines the role of currency and banking in the German financial crisis of 1931 for both Germany and the U.S. We specify a structural dynamic factor model to identify financial and monetary factors separately for each of the two economies. We find that monetary transmission through...

Persistent link: https://www.econbiz.de/10008629518

Depression Econometrics: A FAVAR Model of Monetary Policy During the Great Depression

Ahmadi, Pooyan Amir; Ritschl, Albrecht - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

1929 and 1933. Doubts surrounding GDP estimates for the 1920s would call into question conventional VAR techniques. We … few factors and inserting these into a monetary policy VAR. We work in a Bayesian framework and apply MCMC methods to …

Persistent link: https://www.econbiz.de/10008527070

Local Adaptive Multiplicative Error Models for High-Frequency Forecasts

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM …

Persistent link: https://www.econbiz.de/10010544325

Multivariate Volatility Modeling of Electricity Futures

Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

new model achieves higher forecasting performance compared to a standard DCC model. …

Persistent link: https://www.econbiz.de/10010607142

Adaptive Order Flow Forecasting with Multiplicative Error Models

Härdle, Wolfgang Karl; Mihoci, Andrija; Ting, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...

Persistent link: https://www.econbiz.de/10010895342

Forecasting Euro-Area Variables with German Pre-EMU Data

Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

period 1970Q1 - 2003Q4 for ten macroeconomic variables. The years 2000 - 2003 are used as forecasting period. A range of … different univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some … forecasting variables which need considerable adjustments in their levels when joining German and EMU data. These results suggest …

Persistent link: https://www.econbiz.de/10005677971

On economic evaluation of directional forecasts

Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

It is commonly accepted that information is helpful if it can be exploited to improve a decision mak- ing process. In economics, decisions are often based on forecasts of up{ or downward movements of the variable of interest. We point out that directional forecasts can provide a useful framework...

Persistent link: https://www.econbiz.de/10008577793

Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory

Schaumburg, Julia - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The … extreme value theory. The out-of-sample forecasting performance of our methods turns out to be clearly superior to different … specifications of the Conditionally Autoregressive VaR (CAViaR) models. …

Persistent link: https://www.econbiz.de/10008629520

Automated Valuation Modelling: A Specification Exercise

Schulz, Rainer; Wersing, Martin; Werwatz, Axel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

Market value predictions for residential properties are important for investment decisions and the risk management of households, banks, and real estate developers. The increased access to market data has spurred the development and application of Automated Valuation Models (AVMs), which can...

Persistent link: https://www.econbiz.de/10010700498

Simultaneous Confidence Corridors and Variable Selection for Generalized Additive Models

Zheng, Shuzhuan; Liu, Rong; Yang, Lijian; Härdle, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

In spite of the widespread use of generalized additive models (GAMs), there is no well established methodology for simultaneous inference and variable selection for the components of GAM. There is no doubt that both, inference on the marginal component functions and their selection, are...

Persistent link: https://www.econbiz.de/10010734526