This paper develops and applies a novel estimation procedure for quantile regressions with time-varying coefficients based on a fully parametric, multifactor specification. The algorithm recursively filters the multifactor dynamic coefficients with a Kalman filter and parameters are estimated by...

European wholesale power prices have decreased substantially in recent years, bringing several large utilities to the brink of severe financial problems. In this study, we identify and determine the impact of several fundamental drivers on the electricity wholesale day-ahead price using long...

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

The Environmental Kuznets Curve hypothesis (EKC) postulates an inverted u-shaped curve between important pollutants and per capita GDP analogous to the relationship between in-come inequality and income per capita which has been analysed by Kuznets in 1955. The arti-cle focuses on an empirical...

This note shows that German real GDP follows a trend-stationary process. Both tests which have trend-stationarity as the alternative hypothesis as well as tests that have it under the null hypothesis prefer the trend-stationary model. Explicit consideration of breaks in the trend is not...

Diese Anmerkung zeigt, dass das reale Bruttoinlandsprodukt der Bundesrepublik Deutschland einem trendstationären Prozess folgt. Dabei werden sowohl ökonometrische Tests, bei denen die Trendstationarität die Alternativhypothese ist, eingesetzt als auch solche, bei denen sie die Nullhypothese...

The Environmental Kuznets Curve hypothesis (EKC) postulates an inverted u-shaped curve between important pollutants and per capita GDP analogous to the relationship between in-come inequality and income per capita which has been analysed by Kuznets in 1955. The arti-cle focuses on an empirical...

Many empirical studies find a negative correlation between the returns on the nominal spot exchange rate and the lagged forward discount. This forward discount anomaly implies that the current forward rate is a biased predictor of the future spot rate. A large number of studies in the existing...