This paper proposes a new method of forecasting realized volatilities by exploiting their common dynamics within a latent factor model. The main idea is to use an additive component structure to describe the long-persistence in their autocorrelation function, where the components, extracted from...

This paper analyses the influence of 13 stylized facts of the German economy on the West German business cycles from 1955 to 1994. The method used in this investigation is Statistical Experimental Design with orthogonal factors. We are looking for all existing Plackett-Burman designs realizable...

When analyzing business cycle data, one observes that the relevant predictor variables are often highly correlated. This paper presents a method to obtain measures of importance for the classification of data in which such multicollinearity is present. In systems with highly correlated variables...

This paper illustrates the Support Vector Method for the classification problem with two and more classes. In particular, the multi-class classification Support Vector Method of Weston and Watkins (1998) is correctly formulated as a quadratic optimization problem. Then, the method is applied to...

Thirteen Stylized Facts of the german economy are studied with different descriptive statistical methods. The results of this study are considered with respect to other results from Project B3 Multivariate Bestimmung und Untersuchung von Konjunkturzyklen.

In this paper, we examine the German business cycle (from 1955 to 1994) in order to identify univariate and multivariate outliers as well as influence points corresponding to Linear Discriminant Analysis. The locations of the corresponding observations are compared and economically interpreted.

We present a descriptive analysis of stylized facts for the German business cycle. We demonstrate that simple ad-hoc instructions for identifying univariate rules characterizing the German business cycle 1955-1994 lead to an error rate comparable to standard multivariate methods.