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Cheung, Yin-Wong; Westermann, Frank - 2001

We examine the comovements between the output indexes of three German sectors (manufacturing, mining, and agriculture) and the three corresponding sectoral stock market indexes. It is found that data with and without seasonal adjustment give mixed results on the long-run interaction between the...

Persistent link: https://www.econbiz.de/10011398919

Sectoral trends and cycles in Germany

Cheung, Yin-Wong; Westermann, Frank - 2001

Persistent link: https://www.econbiz.de/10001597629

Sectoral trends and cycles in Germany

Cheung, Yin-Wong; Westermann, Frank - In: Empirical economics : a journal of the Institute for … 28 (2003) 1, pp. 141-156

Persistent link: https://www.econbiz.de/10001724136

Sectoral Trends and Cycles in Germany

Cheung, Yin-Wong; Westermann, Frank - 2021

Persistent link: https://www.econbiz.de/10013320888

The day-of-the-week effect revisited: An alternative testing approach

Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002

This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...

Persistent link: https://www.econbiz.de/10010292794

Evaluating Density Forecasts with an Application to Stock Market Returns

Raunig, Burkhard; de Raaij, Gabriela - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10010295725

Steht der deutsche Aktienmarkt unter politischem Einfluss?

Gottschalk, Katrin; Bohl, Martin T. - 2005

lassen. In Übereinstimmungen mit den für die USA verfügbaren Evidenzen ist auch für Deutschland von einem politisch …Die vorliegende Arbeit untersucht den Zusammenhang zwischen politischen Zyklen und Aktienrenditen in Deutschland …. Während sich die bis dato verfügbaren Studien über politisch bedingte Aktienmarktanomalien auf die USA konzentrieren …

Persistent link: https://www.econbiz.de/10010296346

Modeling Asset Returns: A Comparison of Theoretical and Empirical Models

Schröder, Michael; Lüders, Erik - 2004

large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH …

Persistent link: https://www.econbiz.de/10010298005

International Stock Return Predictability Under Model Uncertainty

Schrimpf, Andreas - 2008

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Persistent link: https://www.econbiz.de/10010298059

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus; Mittnik, Stefan - 2008

We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...

Persistent link: https://www.econbiz.de/10010298391

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