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Stock Market Jumps and Uncertainty Shocks During the Great Depression

Mathy, Gabriel - 2014

Stock market volatility was extremely high during the Great Depression relative to any other period in American history …-Nielsen and Shephard (2004) test for jumps in financial time-series. These jumps coincided with periods when stock volatility was … high as the arrival of new information about the uncertain future drove both the record stock volatility and the record …

Persistent link: https://www.econbiz.de/10013057225

Estimating large-scale factor models for economic activity in Germany: Do they outperform simpler models?

Dreger, Christian; Schumacher, Christian - 2002

This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate...

Persistent link: https://www.econbiz.de/10010295521

Forecasting German GDP using alternative factor models based on large datasets

Schumacher, Christian - 2005

This paper discusses the forecasting performance of alternative factor models based on a large panel of quarterly time series for the german economy. One model extracts factors by static principals components analysis, the other is based on dynamic principal components obtained using frequency...

Persistent link: https://www.econbiz.de/10010295769

Estimating Large-Scale Factor Models for Economic Activity In Germany : Do They Outperform Simpler Models?

Schumacher, Christian; Dreger, Christian - 2003

Persistent link: https://www.econbiz.de/10014107530

Forecasting German GDP Using Alternative Factor Models Based on Large Datasets

Schumacher, Christian - 2008

This paper discusses the forecasting performance of alternative factor models based on a large panel of quarterly time series for the German economy. One model extracts factors by static principal components analysis; the second model is based on dynamic principal components obtained using...

Persistent link: https://www.econbiz.de/10012773410

Forecasting German GDP Using Alternative Factor Models Based on Large Datasets

Schumacher, Christian - 2016

Persistent link: https://www.econbiz.de/10012991223

Estimating Large-Scale Factor Models for Economic Activity in Germany : Do They Outperform Simpler Models?

Schumacher, Christian; Dreger, Christian - 2008

Persistent link: https://www.econbiz.de/10014064731

The information content of monetary statistics for the Great Recession : evidence from Germany

Chen, Wenjuan; Nautz, Dieter - 2015

This paper introduces a Divisia monetary aggregate for Germany and explores its information content for the Great Recession. Divisia money and the corresponding simple sum aggregate are highly correlated in normal times but begin to diverge before the crisis. Out of sample forecast analysis and...

Persistent link: https://www.econbiz.de/10010529338

News Entropy

Kuhlen, Nikolas; Preston, Andrew - 2021

increased stock price volatility at the firm level …

Persistent link: https://www.econbiz.de/10013234550

Business Cycle Volatility in Germany

Buch, Claudia M.; Doepke, Joerg; Pierdzioch, Christian - 2002

Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and … 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 …

Persistent link: https://www.econbiz.de/10010260526