exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible … against time varying means and correlation of return data in parametric models and to obtain confidence bands for … nonparametric estimates. It is shown that time dependence is an important feature describing the dynamics of German stock market …

. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily …

. For a cross section comprising 10 OECD economies and a time span of at most 40 years alternative binary chronologies of …

forecasts -- to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years …, two alternative binary chronologies of bubble periods are determined and subjected to panel logit regressions conditioning …

. For a cross section comprising 10 OECD economies and a time span of at most 40 years alternative binary chronologies of …