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Lasso-type and heuristic strategies in model selection and forecasting
Savin, Ivan; Winker, Peter - 2012
Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to …
Persistent link: https://www.econbiz.de/10010291802
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On mean reversion in real interest rates: An application of threshold cointegration
Jumah, Adusei; Kunst, Robert M. - 2002
Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....
Persistent link: https://www.econbiz.de/10010292774
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What Determines the ZEW Indicator?
Hüfner, Felix P.; Lahl, David - 2003
This paper analyzes which factors are driving the ZEW Indicator of Economic Sentiment. Using the results of a poll among survey participants as well as Granger causality tests we identify three groups of influence factors: other sentiment indicators, financial variables and real economy data. In...
Persistent link: https://www.econbiz.de/10010297299
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Real-time price discovery in stock, bond and foreign exchange markets
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...
Persistent link: https://www.econbiz.de/10010298290
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Factor forecasting using international targeted predictors: the case of German GDP
Schumacher, Christian - 2009
This paper considers factor forecasting with national versus factor forecasting withinternational data. We forecast … estimation using targeted predictors following Bai and Ng [Forecasting economic time series using targeted predictors, Journal of … Econometrics 146 (2008), 304-317]. The results are as follows: Forecasting without data preselection favours the use of German data …
Persistent link: https://www.econbiz.de/10010298757
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Predictive accuracy of political stock markets: Empirical evidence from an European perspective
Berlemann, Michael; Schmidt, Carsten - 2001
In a meta study of 25 political stock markets conducted in Germany in the last decade we analyze their predictive success. Although the predictions of political stock markets are highly correlated with the corresponding polls, the markets are able to aggregate additional information. One...
Persistent link: https://www.econbiz.de/10010305419
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Inflation mittelfristig auf höherem Niveau
Dreger, Christian; Kooths, Stefan - In: DIW Wochenbericht 75 (2008) 20, pp. 266-271
Von der Preisentwicklung geht derzeit ein erhebliches Risiko für die weitere wirtschaftliche Entwicklung aus. Die Teuerungen bei Lebensmitteln und Energie haben die Kaufkraft der Arbeitnehmer reduziert und dämpfen auf diese Weise die Erholung des privaten Verbrauchs, auf der die...
Persistent link: https://www.econbiz.de/10011601819
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Bleibt die Inflation über dem bisherigen Trend?: Fünf Fragen an Christian Dreger
Wittenberg, Erich; Dreger, Christian - In: DIW Wochenbericht 75 (2008) 20, pp. 267
Persistent link: https://www.econbiz.de/10011601820
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Konjunkturprognosen für Bundesländer setzen Verbesserung der Datensituation voraus
Kholodilin, Konstantin A.; Kooths, Stefan; … - In: DIW Wochenbericht 75 (2008) 24, pp. 318-325
Die geplante Stärkung der Eigenverantwortlichkeit der Länder im Zuge der Föderalismusreformen wird zu einem erhöhten Bedarf an Konjunkturprognosen für Bundesländer führen. Während in Deutschland für die Konjunkturbeobachtung auf gesamtstaatlicher Ebene Quartalsdaten zur Verfügung...
Persistent link: https://www.econbiz.de/10011601832
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Länderprognosen: sind Verbundmodelle ein Ausweg aus der Datendürre?: Fünf Fragen an Stefan Kooths
Wittenberg, Erich; Kooths, Stefan - In: DIW Wochenbericht 75 (2008) 24, pp. 319
Persistent link: https://www.econbiz.de/10011601833