The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with differing results in terms of strength and direction of the relationship. This paper uses models of the multivariate GARCH type which allow for time-variability and regime changes in...

This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based...

Vorwort -- Einführung -- Ablauf der statistischen Untersuchung -- Parameter von Häufigkeitsverteilungen -- Verhältniszahlen -- Indexzahlen.-Zeitreihenanalysen -- Zusammenhang zwischen zwei Merkmalen -- Lösung ausgewählter Übungsaufgaben -- Stichwortverzeichnis.

The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information...

Main description: Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents...