Showing 1 - 10 of 26
This paper investigates the capital market relations between Euroland and the USA from 1990 until 2006. Formally based on the uncovered interest rate parity (UIP), backward recursive estimations establish a long-run equilibrium between European and US government bond yields. Since the mid-1990s...
Persistent link: https://www.econbiz.de/10005861051
The uniqueness of bounded local equilibria under interest rate rules is analyzed in a model with sticky information à la Mankiw and Reis (2002). The main results are tighter bounds on monetary policy than in sticky-price models, irrelevance ofthe degree of output-gap targeting for determinacy,...
Persistent link: https://www.econbiz.de/10005860482
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the dependency structure between random variables, next we explain the...
Persistent link: https://www.econbiz.de/10005860518
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
Persistent link: https://www.econbiz.de/10005860527
By using a unique data set of single-family house transactions, we examine theaccuracy of the cost and sales comparison approach over different forecast horizons. We find that sales comparison values provide better long-term forecaststhan cost values if the economic loss function is symmetric. A...
Persistent link: https://www.econbiz.de/10005860577
The higher our aspirations, the higher the probability that we have to adjust them downwards when forming more realistic expectations later on. This paper shows that the costs induced by high aspirations are not trivial. We first develop a theoretical framework to identify the factors that...
Persistent link: https://www.econbiz.de/10005860745
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10005860751
In the era of Basel II a powerful tool for bankruptcy prognosis isvital for banks. The tool must be precise but also easily adaptable tothe bank's objections regarding the relation of false acceptances (TypeI error) and false rejections (Type II error). We explore the suitabil-ity of Smooth...
Persistent link: https://www.econbiz.de/10005860752
This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...
Persistent link: https://www.econbiz.de/10005860756
A solution method is derived in this paper for solving a system of linear rationalexpectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA representation. The method applies a combination of a...
Persistent link: https://www.econbiz.de/10005860765