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...

We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised macroeconomic data. Our real-time macroeconomic data cover the period 1994-2005. We report three results. 1) Real-time macroeconomic data did not contribute much to ex ante...

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

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...

In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX...

Die empirische Überprüfung von steuerlich bedingten Marktsegmentationen (Steuer-Klientel- Effekten) ergab an den DM-Anleihemärkten asymmetrische Ergebnisse für Anleihen in Abhängigkeit von deren Kurshöhe. Im vorliegenden Beitrag werden diese Resultate durch Friktionen bei der Bildung von...

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ('efficient return') factor and two market-side-specific components...

This paper considers simultaneous modelling of seasonality, slowly changing un- conditional variance and conditional heteroskedasticity in high-frequency fiancial returns. A new approach, called a seasonal SEMIGARCH model, is proposed to perform this by introducing multiplicative seasonal and...

This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional...

The relation between personal taxes and firm value has fundamental implications for understanding why firms pay dividends and how taxes influence capital structure choices. Assessing personal tax valuation effects also influences tax policy debates regarding the integration of corporate and...