We used neural-network based modelling to generalize the linear econometric return models and compare their out-of-sample predictive ability in terms of different performance measures under three density specifications.(...)

This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the variability of stock market prices, of the real exchange rate, and of a long-term and of a short-term rate of...