This paper seeks to disentangle the sources of correlations between high-, mid- and lowcap stock indexes from the German prime standard. In principle, such comovement can arise from direct spillover between the variables or due to common factors. By standard means, these different components are...

Using the example of short-term forecasts for German employment figures, the article at hand examines the question whether the use of disaggregated information increases the forecast accuracy of the aggregate. For this purpose, the out-ofsample forecasts for the aggregated employment forecast...

Durch das wachsende Mobilitätsaufkommen, die Digitalisierung und insbesondere den Klimaschutz unterliegt das Mobilitätssystem einem tiefgreifenden Wandel. Auf Basis der BIBB-IAB-Qualifikations- und Berufsprojektionen werden anhand einer Szenarioanalyse die Folgen eines Regimewechsels im...

In recent years, support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a...

In the era of Basel II a powerful tool for bankruptcy prognosis isvital for banks. The tool must be precise but also easily adaptable tothe bank's objections regarding the relation of false acceptances (TypeI error) and false rejections (Type II error). We explore the suitabil-ity of Smooth...

Die Prognose der Insolvenzgefährdung von Unternehmen anhand statistischer Methodik war und ist eine bedeutende Aufgabe empirischer Forschung. Eine Möglichkeit der Beurteilung der finanziellen bzw. wirtschaftlichen Verfassung von Unternehmen stellt die sog. externe Bilanzanalyse anhand...

We use dynamic panel analysis to examine whether credit rating agencies achieve what they claim to achieve, namely, look into the future when assigning their ratings. We find that Moodey's ratings help predict individual financial ratios over a horizon of up to five years. Ratings also predict a...

This paper is a progress report on understanding the relationship betweenprices and allocations of risks on financial markets versus macroeconomicchoices and allocations. In this paper, I investigate the scope of a modelwith exogenous habit formation – or “catching up with the Joneses”,...