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Forecasting performance of market share attraction models : a comparison of different models assuming that competitors’ actions are forecasts

Klapper, Daniel; Herwartz, Helmut - 1998

Persistent link: https://www.econbiz.de/10009578563

Testing for short and long-run causality : the case of the yield spread and economic growth

Breitung, Jörg; Candelon, Bertrand - 2001

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

Persistent link: https://www.econbiz.de/10009617950

The transmission of German monetary policy in the pre-Euro period

Lütkepohl, Helmut; Wolters, Jürgen - 2001

A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...

Persistent link: https://www.econbiz.de/10009616780

Self-rated and changes in self-rated health as predictors of mortality : first evidence from german panel data

Schwarze, Johannes; Andersen, Hanfried H.; Anger, Silke - 2002

. However, no empirical evidence exists for Germany so far. We investigate the effectiveness of (i) self-ratings of health by … individuals and (ii) changes in self-rated health, as predictors of mortality for Germany. Methods: A sub-sample of 3 … a valid predictor of mortality in Germany, adding previously self-rated health has no effect on explaining the …

Persistent link: https://www.econbiz.de/10009626677

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 …

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

How accurate do markets predict the outcome of an event? : the Euro 2000 soccer championships experiment

Schmidt, Carsten; Werwatz, Axel - 2002 - Rev.

For the Euro 2000 Soccer Championships an experimental asset market was condueted, with traders buying and selling contracts on the winners of individual matches. Market-generated probabilities are compared to professional bet quotas, and factors that are responsible for the quality of the...

Persistent link: https://www.econbiz.de/10009621415

Forecasting cointegrated VARMA processes

Lütkepohl, Helmut - 1999

Persistent link: https://www.econbiz.de/10009581104

Backtesting beyond VaR

Härdle, Wolfgang; Stahl, Gerhard - 1999

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows...

Persistent link: https://www.econbiz.de/10009582401