The possibility of confusing long memory behavior with structural changes need to specify what kind of long memory behavior is concerned in literature and applications. One attraction of long memory models is that they imply different long run predictions and effects of shocks to conventional...

We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties are well documented and exhaustively examined. However, if the model was...

This paper develops a method for producing current-quarter forecasts of GDP growth with a (possibly large) range of available within-the-quarter monthly observations of economic indicators, such as employment and industrial production, and financial indicators, such as stock prices and interest...

This paper develops a new hedonic method for constructing a real estate price index that utilizes all transaction price information that encompasses both single-sale and repeat-sale properties. The new method is less prone to specification errors than standard hedonic methods and uses all...

This paper develops a new hedonic method for constructing a real estate price index that utilizes all transaction price information that encompasses both single-sale and repeat-sale properties. The new method is less prone to specification errors than standard hedonic methods and uses all...

We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...

Katharina Wedel prepared this study while she was working at the Center for the Economics of Education at the ifo Institute. The study was completed in September 2023 and accepted as doctoral thesis by the Department of Economics at LMU Munich. It consists of four distinct empirical essays that...

Exploiting the near-experimental conditions provided by the British Pound market in US Dollars during the Brexit vote of June 23rd, 2016, we unearth a major challenge to the Efficient Market Hypothesis. With a single factor of prior polling information, we show that the Brexit result could have...