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The introduction of the Euro and its effects on investment decisions
Haselmann, Rainer (contributor);  … - 2005
In this paper we examine changes on investment decisions induced by the introduction of the Euro. There are two … potential sources of portfolio reallocation. First, the introduction of the Euro diminished exchange rate risks within the EMU …
Persistent link: https://www.econbiz.de/10003182391
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A robust bootstrap approach to the Hausman test in stationary panel data models
Herwartz, Helmut (contributor);  … - 2007
In panel data econometrics the Hausman test is of central importance to select an e±cient estimator of the models' slope parameters. When testing the null hypothesis of no correlation between unobserved heterogeneity and observable explanatory variables by means of the Hausman test model...
Persistent link: https://www.econbiz.de/10003587048
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Exact inference in diagnosing value-at-risk estimates : a Monte Carlo device
Herwartz, Helmut (contributor) - 2008
In this note a Monte Carlo approach is suggested to determine critical values for diagnostic tests of Value-at-Risk models that rely on binary random variables. Monte Carlo testing offers exact significance levels in finite samples. Conditional on exact critical values the dynamic quantile test...
Persistent link: https://www.econbiz.de/10003761111
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Testing for causality in variance using multivariate GARCH models
Hafner, Christian M. (contributor);  … - 2004 - [Elektronische Ressource]
Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based...
Persistent link: https://www.econbiz.de/10001981192
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Modeling the FIBOR/EURIBOR swap term structure : an empirical approach
Blaskowitz, Oliver (contributor);  … - 2005
In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive (VAR) models. In advance, a principal components analysis (PCA) is adopted to reduce the dimensionality of the term structure. To evaluate exante forecasting performance for...
Persistent link: https://www.econbiz.de/10002724448
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When, how fast and by how much do trade costs change in the euro area?
Herwartz, Helmut (contributor); Weber, Henning (contributor) - 2008
Microfoundations of the euro's effect on euro area trade hinge on the timing, the speed and the size of adjustment in … at the sector level. We find that, due to falling trade costs, trade within the euro area increases between the years … 2000 and 2003 by 10 to 20 percent compared with trade between European countries that are not members of the euro area. …
Persistent link: https://www.econbiz.de/10003761135