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Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

Persistent link: https://www.econbiz.de/10009611542

Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

Persistent link: https://www.econbiz.de/10009661022

Estimation and testing for varying coefficients in additive models with marginal integration

Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …

Persistent link: https://www.econbiz.de/10009627286

Forecasting the real output using fractionally integrated techniques

Gil-Alaña, Luis A. - 2001

The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d...

Persistent link: https://www.econbiz.de/10009613608

Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares

Breitung, Jörg; Wulff, Christian - 1999

The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...

Persistent link: https://www.econbiz.de/10009581105

Weekday dependence of German stock market returns

Herwartz, Helmut - 1999

exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible …

Persistent link: https://www.econbiz.de/10009580468

Predictive accuracy of political stock markets : empirical evidence from a European perspective

Berlemann, Michael; Schmidt, Carsten - 2001

In a meta study of 25 political stock markets conducted in Germany in the last decade we analyze their predictive success. Although the predictions of political stock markets are highly correlated with the corresponding polls, the markets are able to aggregate additional information. One...

Persistent link: https://www.econbiz.de/10009614879

Semiparametric analysis of German East-West migration intentions : facts and theory

Burda, Michael C.; Härdle, Wolfgang; Müller, Marlene; … - 1997

East-West migration in Germany peaked at the beginning of the 90s although the average wage gap between Eastern and Western Germany continues to average about 25%. We analyze the propensity to migrate using microdata from the German Socioeconomic Panel. Fitting a parametric Generalized Linear...

Persistent link: https://www.econbiz.de/10009574896

The Beveridge-Nelson decomposition : a different perspective with new results

Gómez, Víctor; Breitung, Jörg - 1998

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...

Persistent link: https://www.econbiz.de/10009577456

Finance, investment, and firm value in Germany and the US : a comparative analysis

Nowak, Eric - 1998

Germany and the United States are generally seen as the two competing systems of corporate governance. In search for a comparative welfare analysis of the financial systems, we are interested in (i) the aggregate value-added of corporate investments in the two countries and in (ii) the...

Persistent link: https://www.econbiz.de/10009578016