A structural break is viewed as a permanent change in the parameter vector of a model. Using taxonomies of all sources of forecast errors for both conditional mean and conditional variance processes, we consider the impacts of breaks and their relevance in forecasting models: (a) where the...

The goal of this thesis is twofold: it aims, firstly, at a description of cycles in SouthAfrican financial variables and, secondly, at the evaluation of the relationshipbetween cycles in financial variables and the South African business cycle. The studyis based on the original business cycle...

This study attempts to determine the degree to which the state of the macroeconomy can be used to create a mutual fund investment strategy that consistently outperforms the S&P 500. By quantifying how systematic economic factors affect the relative performance of different fund strategies...

Using a log-linearized approximation to an aggregate budget constraint, it is possible to show that the ratio of consumption to total (human and non-human) wealth summarizes agents' expectations concerning both future labor income and future asset returns. In a series of recent papers, Lettau...

Includes bibliographical references (p. 17).

The purpose of this paper is to propose a method for determining the time standard of items based on several characters, where part of them is quantitative and some of them are qualitative (dichotomic). The method of determining the time standard of an item is based on Multiple Linear Regression...

A methodology is offered which can be used to construct an econometric model in the presence of structural change of an evolutionary type. The theoretical basis for such modelling is drawn from the self-organisation approach and operationalised in the context of the logistic diffusion growth...

Revenue forecasting is one of the most critical and often difficult tasks in governmental budgeting. It is critical because it determines the parameters upon which the budget is based. It is difficult because many outside influences can impact revenue results and cause variances with the...

The Grand Rapids industrial market started slow and steady in the first quarter of 2008 but made up for lost time during the remainder of the year. The vacancy rate decreased from 9.4 percent during the first quarter of 2008 to 7.5 percent at year-end. The consolidation, relocation, and...

The modelling of stock market volatility is considered to be important for practitioners and academics in finance due to its use in forecasting aspects of future returns. The GARCH class models have now firmly established themselves as one of the foremost techniques for modelling volatility in...