We use Adaptive Weights Smoothing (AWS) of Polzehl and Spokoiny (2000, 2003, 2006) to estimate a map of land values for Berlin, Germany. Our data are prices of undeveloped land that was transacted between 1996-2009. Even though the observed land price is an indicator of the respective land...

In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...

In this note we establish the existence of the first two moments of the asymptotic tracestatistic, which appears as weak limit of the likelihood ratio statistic for testing the cointe-gration rank in a vector autoregressive model and whose moments may be used to developpanel cointegration tests....

Using data for six OECD countries, this paper studies the effect of macroeconomic conditions on the mortality index kt in the well-known Lee-Carter model. Significant correlations are found with real GDP growth rates in Australia, Canada, and the United States, and with unemployment rate changes...

In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing in favor of structural variation, we propose data...

Microfoundations of the euro´s effect on euro area trade hinge on the timing, thespeed and the size of adjustment in trade costs. We estimate timing, speed and sizeof adjustment in trade costs for sectoral trade data. Our approach allows for sectorspecific impacts of trade costs on sectoral...

The paper proposes a data driven adaptive model selection strategy. The selection criterionmeasures economic ex-ante forecasting content by means of trading implied cash flows.Empirical evidence suggests that the proposed strategy is neither exposed to selection biasnor to the risk of choosing...

This article provides a comprehensive econometric analysis of factors driving aggregatemortality rates over time. It differs from previous studies in this field by simultaneouslyconsidering an extensive set of macroeconomic, socio-economic and ecological factors asexplanatory variables. Germany...

This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...