-specific data sets, cointegration analyses are carried out both to identify long-run economic relationships and to remove the trend …

(the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we …

(the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we …

unemployment (NAIRU) is used. In a first step, the unobservable, exogenous NAIRU is estimated for Germany in a state space setting … after the German reunification, cointegration is found between both variables suggesting a slightly positive relationship. …

between the capitalization of the banking sector and bank loans using panel cointegration models. We study the evolution of …

between the capitalization of the banking sector and bank loans using panel cointegration models. We study the evolution of …

-ins for monetary union with respect to Germany. Using tests for cointegration and common features for monthly data during the …

migration to Germany and tested the model for the 1969-2004, using the cointegration technique. A single cointegrating vector is … found among the gross migration inflows and the following explanatory variables: the relative income ratio between Germany … and Turkey, the unemployment rates in Germany and Turkey, aid, the trade intensity variable and the ratio of manufacturing …

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied … to cointegration. …