In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive (VAR) models. In advance, a principal components analysis (PCA) is adopted to reduce the dimensionality of the term structure. To evaluate ex?ante forecasting performance for...

We employ German Sample Survey Income data to examine income inequality and the financial situation of elderly citizens for the period from 1978 to 2003, focussing on differences between retired and non-retired elderly and between elderly with residence in the Old and the New German Laender....

In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...

In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov- switching multifractal model (MSM). In order to see how well...

We develop a model with two types of electricity producers, fossil fuel utilities generating emissions, and suppliers of electricity from renewable resources such as wind energy. We account for the vertical structure of the wind-energy sector by considering wind-turbine producers engaged in...

This paper develops a methodology for estimating the parameters of dynamic opinion or expectation formation processes with social interactions. We study a simple stochastic framework of a collective process of opinion formation by a group of agents who face a binary decision problem. The...

Die Riester-Förderung soll dazu beitragen, dass häufiger und mehr für die Altersvorsorge gespart wird. Der Einfluss der Riester-Förderung auf die Sparneigung von Haushalten mit niedrigem Einkommen ist dabei ein zentrales Kriterium zur ökonomischen Evaluation dieser Politik. Unsere...

This chapter reviews recent research adopting methods from statistical physics in theoretical or empirical work in economics and nance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from observed scaling laws in nancial markets and the...

Based on the observation that industries are often geographically concentrated, this paper proposes a new political economy model of trade protection. We associate the sectors of a specific factors model with electoral districts populated by continua of heterogeneous voters who differ in their...

On the basis of abundant facility and firm-level data for German manufacturing, originating from a recent OECD-survey, this paper empirically investigates the relevance of a variety of incentives for environmentally innovative behavior of facilities, the respective influence of pressure groups,...