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Persistent link: https://www.econbiz.de/10009578563
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
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
Persistent link: https://www.econbiz.de/10009581104
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
This paper discusses a methodology which uses time series cross sectional datafor the estimation of a time dependent regression function depending on explanatory variables and for the prediction of values of the dependent variable. The methodology assumes independent observations and is based on...
Persistent link: https://www.econbiz.de/10009578017
Background: Studies from several countries have shown that self-rated health is an independent predictor of mortality. 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...
Persistent link: https://www.econbiz.de/10009626677
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
Persistent link: https://www.econbiz.de/10001918993
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...
Persistent link: https://www.econbiz.de/10009574876