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Cointegration between stock prices, dividends, output and consumption : evidence and forecasting ability for 29 markets

Black, Angela J.; McMillan, David G.; McMillan, Fiona J. - In: Review of accounting & finance 14 (2015) 1, pp. 81-103

Persistent link: https://www.econbiz.de/10010518777

Time-varying cointegration models and exchange rate predictability in Korea

Park, Sookyung; Park, Cheolbeom - In: Han gug gae bal yeon gu 37 (2015) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10011416686

House price forecasts with factor combinations

Rahal, Charles - 2015

Persistent link: https://www.econbiz.de/10010533003

Forecasting daily political opinion polls using the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Shibaev, Sergei S. - 2015

We examine forecasting performance of the recent fractionally cointegrated vector autoregressive (FCVAR) model. The model is applied to daily polling data of political support in the United Kingdom for 2010 - 2015. We compare with popular competing models and at various forecast horizons. Our...

Persistent link: https://www.econbiz.de/10011279787

A multiplicative error model with heterogeneous components for forecasting realized volatility

Han, Heejoon; Park, Myung D.; Zhang, Shen - In: Journal of forecasting 34 (2015) 3, pp. 209-219

Persistent link: https://www.econbiz.de/10011305259

The demand for euro banknotes issued in Germany : structural modelling and forecasting

Bartzsch, Nikolaus; Seitz, Franz; Setzer, Ralph - 2015

This paper explains and forecasts the demand for banknotes issued in Germany. For small and large denomination notes we estimate vector error correction models (VECM). The results suggest that the long-run demand for German small denomination notes is mainly driven by domestic transactions and...

Persistent link: https://www.econbiz.de/10011334993