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

Breitung, Jörg; Candelon, Bertrand - 2001

is proposed to test for causality at different forecast horizons. Second, the framework of Geweke (1982) and Hosaya (1991 …

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

A note on stochastic volatility, GARCH models, and hyperbolic distributions

Jaschke, Stefan R. - 1997

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …

Persistent link: https://www.econbiz.de/10009577459

How precise are price distributions predicted by implied binomial trees?

Härdle, Wolfgang; Zheng, Jun - 2002

Persistent link: https://www.econbiz.de/10009620778

ExploRing persistence in financial time series

Lee, David - 2000

Persistent link: https://www.econbiz.de/10009611548

The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations

Jaschke, Stefan R. - 2001

Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the monotonicity of the distribution function as well as...

Persistent link: https://www.econbiz.de/10009614287

Some convergence problems on heavy tail estimation using upper order statistics for generalized Pareto and lognormal distributions

Hernandez-Molinar, Raul (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919530

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

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 …

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

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