The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...

Given the growing need for managing financial risk, risk prediction plays an increasing role in banking and finance. In this study we compare the out-of-sample performance of existing methods and some new models for predicting value-at-risk (VaR) in a univariate context. Using more than 30 years...

The paper illustrates and evaluates a Kalman filtering method for forecasting German real GDP at monthly intervals. German real GDP is produced at quarterly intervals but analysts and decision makers often want monthly GDP forecasts. Quarterly GDP could be regressed on monthly indicators, which...

Barro-type endogenous growth models propose a nonmonotonic relationship between productive public spending and growth. Under this so-called nonlinearity hypothesis the size and direction of growth effects due to an increase in public spending depend on the share of public spending in GDP....

In this paper we construct a model of stock market, interest rate and output interaction which is a generalization of the well known 1981 model of Blanchard. We allow for imperfect substitutability between stocks and bonds in the asset market and for lagged portfolio adjustment. The reaction of...

Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and fat tails, the normal distribution with constant...

We analyze the dynamic relationship between public investment and output. Whereas existing empirical studies on the effects of public capital typically rely on single-equation models of the private sector, we investigate the role of public investment in an economy by examining impulse responses...