The need to pay some attention to the issues of investment processes undertaken in enterprises and explore this topic is a direct result of the important role that enterprises play in the economy — with particular emphasis on the SMEs. From the company’s point of view, it is crucial to...

The need to pay some attention to the issues of investment processes undertaken in enterprises and explore this topic is a direct result of the important role that enterprises play in the economy — with particular emphasis on the SMEs. From the company’s point of view, it is crucial to...

We argue that many confusions relating to the system of methods used in a particular area of study economics and econometrics, if we a considering in time-series forecasting might be considered as arising out of ambivalence or inconclusiveness about the error terms. Relationships between...

Tests based on heteroskedasticity robust standard errors are an important technique in econometric practice. Choosing the right critical value, however, is not simple at all: Conventional critical values based on asymptotics often lead to severe size distortions; and so do existing adjustments...

Tests based on heteroskedasticity robust standard errors are an important technique in econometric practice. Choosing the right critical value, however, is not simple at all: conventional critical values based on asymptotics often lead to severe size distortions; and so do existing adjustments...

We consider a nonparametric test for the null of seasonal unit roots in quarterly time series that builds on the RUR (records unit root) test by Aparicio, Escribano, and Sipols. We find that the test concept is more promising than a formalization of visual aids such as plots by quarter. In order...

We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...

Pearson's correlation coefficient is typically used for measuring the dependence structure of stock returns. Nevertheless, it has many shortcomings often documented in the literature. We suggest to use a conditional version of Spearman's rho as an alternative dependence measure. Our approach is...

This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in...