We show that house prices from Aberdeen in the UK improve in- and out-of-sample oil price forecasts. The improvements are of a similar magnitude to those attained using macroeconomic indicators. We explain these forecast improvements with the dominant role of the oil industry in Aberdeen. House...

With the recent availability of high-frequency nancial data the longrange dependence of volatility regained researchers' interest and has leadto the consideration of long memory models for realized volatility. Thelong range diagnosis of volatility, however, is usually stated for long...

In klassischen Wahlmodellen wird davon ausgegangen, dass sich ein beobachtetes Verhalten durch einen nicht näher spezifizierbaren Evaluationsprozess des beobachteten Individuums ergibt. Ist die Aufdeckung dieses Prozesses von Interesse, stoßen reine Wahlmodelle schnell an ihre methodischen...

This paper shows how to identify the structural shocks of a Vector Autoregression(VAR) while at the same time estimating a dynamic stochastic generalequilibrium (DSGE) model that is not assumed to replicate the data generatingprocess. It proposes a framework to estimate the parameters of the VAR...

Context effects can have a major influence on brand choice behavior after the introduction ofa new product. Based on behavioral literature, several hypotheses about the effects of a newbrand on perception, preferences and choice behavior can be derived, but studies with realchoice data are still...

Context effects can have a major influence on brand choice behavior after the introduction ofa new product. Based on behavioral literature, several hypotheses about the effects of a newbrand on perception, preferences and choice behavior can be derived, but studies with realchoice data are still...

In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...

We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions ('market...

We consider a difference based ridge regression estimator and a Liu type estimator of the regression parameters in the partial linear semiparametric regression model, y = Xb + f + e. Both estimators are analysed and compared in the sense of mean-squared error. We consider the case of independent...