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Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
Lux, Thomas; Morales-Arias, Leonardo - 2009
-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …
Persistent link: https://www.econbiz.de/10010265243
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Stock Market Wealth, Private Saving, and the Current Account in the United States: Should We Worry?
Strauß, Hubert M. - 1999
The paper investigates by means of cointegration analysis whether the recently observed low levels of private saving and the current account balance in the United States are worrisome in the sense that they cannot be sufficiently explained by determinants which performed well in the past. Stock...
Persistent link: https://www.econbiz.de/10010260556