This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a...

Die möglichst präzise und vor allem zutreffende Vorhersage unsicherer zukünftiger Ereignisse ist eine permanente Herausforderung für Unternehmen. Prognosemärkte adressieren diese Aufgabe, indem sie relevante Informationen aufdecken, bewerten und aggregieren. Mit diesem Bericht leisten wir...

Most of the bankruptcy prediction models developed so far have in common that they are based on quantitative data or more precisely financial ratios. However, useful information can be lost when disregarding soft information. In this work, we develop an automated content analysis technique to...

The recent financial crisis has demonstrated in an impressive way that boom/bust cycles can have devastating effects on the real economy. This paper aims at contributing to the literature on early warning indicator exercises for asset price development. Using a sample of 17 industrialised OECD...

In this paper, the authors construct country-specific chronologies of the house price bubbles for 12 OECD countries over the period 1969:Q1-2009:Q4. These chronologies are obtained using a combination of a fundamental approach and a filter approach. The resulting speculative bubble chronology is...

We analyze the predictive power of seven leading indicators for economic activity inthe Euro Area developed by different banks, institutions and research centers. Ourcomparison is conducted in a bivariate vector autoregressive framework. Indicators arecompared by means of an in-sample and an...

The relevance of oil in the world economy explains why considerable effort has been devoted to the development of different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic literature. Some are based on financial theory and...

This paper analyses the forecasting power of weekly futures prices at Nord Pool. The forecasting power of futures prices is compared to an ARIMAX model of the spot price. The time series model contains lagged external variables such as: temperature, precipitation, reservoir levels and the basis...

Ignoring for a moment the debate on whether balanced budget rules are a sensible idea from a macroeconomic point of view, there remains a major problem with tying one’s fi scal policy to econometric estimates of potential variables: their notorious unreliability. With every one of its biannual...