This paper presents a cliometric application of fractional integrated processes to socio-economic time series for France and Germany in the 19th and 20th centuries. The analysis leads to a significant result: no short or long term cycle appears as the dominant constituent.

In the paper we test for the different reactions of stock markets to the current financial crisis. We focus on Central European stock markets, namely the Czech, Polish and Hungarian ones, and compare them to the German and U.S. benchmark stock markets. Using wavelet analysis, we decompose a time...

In this paper, we contribute to the literature on international stock market comovement. The novelty of our approach lies in usage of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock market returns in a different way. Major part...

Assessing the extreme events is crucial in financial risk management. All risk managers and financial institutions want to know the risk of their portfolio under rare events scenarios. We illustrate a multivariate market risk estimating method which employs Monte Carlo simulations to estimate...

Aggregate wage earnings are one of the key variables of the German economy. Paradoxically, it is also a little known variable, especially in the long term. Historians have never devoted a synthesis to the subject and, among all the economists who have centred their work on the study of economic...

Using the outliers methodology, the focus of this paper is to present the time series dynamics of the German higher education system before 1945. The outline of the paper is as follows. In Section 2, we define the outliers and describe the outliers identification procedure. We apply this...