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Forecasting stock market volatility with macroeconomic variables in real time
Döpke, Jörg (contributor); Hartmann, Daniel (contributor);  … - 2006
used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We …
Persistent link: https://www.econbiz.de/10003315444
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Predicting recessions in Germany with boosted regression trees
Döpke, Jörg; Fritsche, Ulrich; Pierdzioch, Christian - 2015 - First version: October 2015
We use a machine-learning approach known as Boosted Regression Trees (BRT) to reexamine the usefulness of selected leading indicators for predicting recessions. We estimate the BRT approach on German data and study the relative importance of the indicators and their marginal effects on the...
Persistent link: https://www.econbiz.de/10011381289
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Business cycle volatility in Germany
Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian - 2002
structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the … in Germany reflects good economic and monetary policy or merely "good luck". …
Persistent link: https://www.econbiz.de/10011475861
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Inflation and the skewness of the distribution of relative price changes : empirical evidence for Germany
Döpke, Jörg; Pierdzioch, Christian - 2001
The present paper uses German annual data covering the period 1969-2000 to present evidence on the link between aggregate inflation and the higher-order moments of the distribution of relative price changes. Our empirical findings confirm predictions of contributions to the theoretical...
Persistent link: https://www.econbiz.de/10011476471
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Business cycle volatility in Germany
Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian - 2002
structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the … in Germany reflects good economic and monetary policy or merely `good luck'. …
Persistent link: https://www.econbiz.de/10001712118
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Brokers and business cycles: does financial market volatility cause real fluctuations?
Döpke, Jörg - 1998
Persistent link: https://www.econbiz.de/10013261010
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Inflation and the skewness of the distribution of relative price changes : empirical evidence for Germany
Döpke, Jörg - 2001
Persistent link: https://www.econbiz.de/10013261157
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Business Cycle Volatility in Germany
Buch, Claudia M.; Doepke, Joerg; Pierdzioch, Christian - 2002
structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the … in Germany reflects good economic and monetary policy or merely ?good luck?. …
Persistent link: https://www.econbiz.de/10010260526
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Financial openness and business cycle volatility
Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian - 2002
This paper discusses whether the integration of international financial markets affects business cycle fluctuations. In the framework of a new open economy macro-model, we show that the link between financial openness and business cycle volatility depends on the nature of the underlying shock....
Persistent link: https://www.econbiz.de/10011475038
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Financial openness and business cycle volatility
Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian - 2002
This paper discusses whether the integration of international financial markets affects business cycle fluctuations. In the framework of a new open economy macro-model, we show that the link between financial openness and business cycle volatility depends on the nature of the underlying shock....
Persistent link: https://www.econbiz.de/10001685221