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Testing directional forecast value in the presence of serial correlation
Blaskowitz, Oliver; Herwartz, Helmut - 2008
Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....
Persistent link: https://www.econbiz.de/10003796145
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On economic evaluation of directional forecasts
Blaskowitz, Oliver; Herwartz, Helmut - 2009
It is commonly accepted that information is helpful if it can be exploited to improve a decision making process. In economics, decisions are often based on forecasts of up- or downward movements of the variable of interest. We point out that directional forecasts can provide a useful framework...
Persistent link: https://www.econbiz.de/10003893151
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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 ex-ante forecasting performance for...
Persistent link: https://www.econbiz.de/10003049489
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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/10003770823