It is commonly accepted that information is helpful if it can be exploited to improve a decision mak- ing process. In economics, decisions are often based on forecasts of up{ or downward movements of the variable of interest. We point out that directional forecasts can provide a useful framework...

SFB 649 Discussion Paper 2006-067 Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break Carsten Trenkler* Pentti Saikkonen** Helmut Lütkepohl*** * Humboldt-Universität zu Berlin, Germany ** University of Helsinki, Finland ***...

SFB 649 Discussion Paper 2006-068 Integral Options in Models with Jumps Pavel V. Gapeev* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany and Russian Academy of Sciences, Institute of Control Sciences, Moscow, Russia This research...

SFB 649 Discussion Paper 2006-050 Robust Econometrics Pavel Čížek* Wolfgang Härdle** * Department of Econometrics and Operations Research, Universiteit van Tilburg, The Netherlands ** Institute for Statistics and Econometrics and C.A.S.E. – Center for...

SFB 649 Discussion Paper 2006-057 Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon Pavel V. Gapeev* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany and Russian Academy of Sciences, Institute of...

SFB 649 Discussion Paper 2006-059 Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes Pavel V. Gapeev* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany and Russian Academy of Sciences, Institute of Control...

SFB 649 Discussion Paper 2006-064 Common and Uncommon Sources of Growth in Asia Pacific Enzo Weber* * Institut für Statistik und Ökonometrie, Freie Universität Berlin, Germany This research was supported by the Deutsche Forschungsgemeinschaft through the...

SFB 649 Discussion Paper 2006-060 On Maximal Inequalities for some Jump Processes Pavel V. Gapeev* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany and Russian Academy of Sciences, Institute of Control Sciences, Moscow, Russia ...

SFB 649 Discussion Paper 2006-069 Constrained General Regression in Pseudo- Sobolev Spaces with Application to Option Pricing Zdeněk Hlávka* Michal Pešta* * Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles...