In recent years, support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a...

According to housing investment models, house prices and replacement costshould have an equilibrating relationship. Previous empirical work|mainlybased on aggregate-level data|has found only little evidence of such a relationship.By using a unique data set, covering transactions of...

Exploratory factor analysis (EFA) is an important tool in data analyses,particularly in social science. Usually four steps are carried out which contain alarge number of options. One important option is the number of factors and theassociation of variables with a factor. Our tools aim to...

The higher our aspirations, the higher the probability that we have to adjust them downwards when forming more realistic expectations later on. This paper shows that the costs induced by high aspirations are not trivial. We first develop a theoretical framework to identify the factors that...

Private banks often blame state guarantees to distort competition by giving public banks the advantage of lower funding costs. In this paper I show that if borrowers perceive the public bank as supporting economic development, private banks may be able to separate firms by self selection, enter...

A great proportion of stock dynamics can be explained using publicly availableinformation. The relationship between dynamics and public information may be ofnonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

In order to address the impact of regulation on ethical concerns of consumers, westudy the e¤ect of a minimum wage. In our experimental market, consumers havemonopsony power, firms engage in Bertrand competition, and workers are passiverecipients of a wage payment. Two treatments are employed,...

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...

In the era of Basel II a powerful tool for bankruptcy prognosis isvital for banks. The tool must be precise but also easily adaptable tothe bank's objections regarding the relation of false acceptances (TypeI error) and false rejections (Type II error). We explore the suitabil-ity of Smooth...

Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...