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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
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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
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
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Modelling exchange rates volatility with multivariate long-memory ARCH processes
Teyssière, Gilles - 1999 - Rev.
, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …
Persistent link: https://www.econbiz.de/10009579181
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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
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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
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Adaptive estimation for a time inhomogeneous stochastic-volatility model
Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000
problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …
Persistent link: https://www.econbiz.de/10009582392
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Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods
Lillestøl, Jostein - 2000 - Rev.
alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …
Persistent link: https://www.econbiz.de/10009612011
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Stock performance around share repurchase announcements in Germany
Seifert, Udo (contributor) - 2003 - [Elektronische Ressource], draft
Persistent link: https://www.econbiz.de/10001917087
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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
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
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Forecasting sectoral trade growth under flexible exchange rates
Herwartz, Helmut (contributor); Weber, Henning (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001918993