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An evaluation of forecasting methods and forecast combination methods in goods management systems

Schneider, Carsten; Klapper, Matthias; Wenzel, Thomas - 1999

In this paper we use 4 different time series models to forecast sales in a goods management system. We use a variety of forecast combining techniques and measure the forecast quality by applying symmetric and asymmetric forecast quality measures. Simple, rank-, and criteria-based combining...

Persistent link: https://www.econbiz.de/10010316699

Ist die Hebelwirkung der Grund für Asymmetrie in ARCH- und GARCH-Modellen?

Schoffer, Olaf - 2000

Persistent link: https://www.econbiz.de/10010316711

The weak Pareto law and regular variation in the tails

Krämer, Walter; Ziebach, Thorsten - 2002

We show that the weak Pareto law, as used to characterize the tail behaviour of income distributions, implies regularly varying tail probabilities, but that the reverse implication does not hold. We also establish implications among other versions of the weak Pareto law.

Persistent link: https://www.econbiz.de/10010316717

Funding under borrowing limits in international portfolios

Trani, Tommaso - 2012

I develop an open economy portfolio model to study how leveraged investors' wholesale funding affects the international transmission of shocks. Under binding borrowing limits, there is a link between the international investment positions of integrated economies as investors diversify the asset...

Persistent link: https://www.econbiz.de/10010316721

Country portfolios with imperfect corporate governance

Mukherjeey, Rahul - 2010

Equity home bias is one of the most enduring puzzles in international finance. In this paper, I start out by documenting a novel stylized fact about home bias: countries with weaker domestic institutions hold fewer foreign assets. I then explore a macroeconomic mechanism by which the presence of...

Persistent link: https://www.econbiz.de/10010316723

Interest rate signals and central bank transparency

Gosselin, Pierre; Lotz, Aileen; Wyplosz, Charles - 2007

the literature has focused on uncertainty about the economic fundamentals, assumed to be estimated with known precision …; we also allow for uncertainty about precision. Fourth, it derives results that are general in the sense that they do not …. While uncertainty about the fundamentals results in the now familiar common knowledge effect, uncertainty about information …

Persistent link: https://www.econbiz.de/10010316724

A bargaining theory of trade invoicing and pricing

Goldberg, Linda; Tille, Cedric - 2013

We develop a theoretical model of international trade pricing in which individual exporters and importers bargain over the transaction price and exposure to exchange rate fluctuations. We find that the choice of price and invoicing currency reflects the full market structure, including the...

Persistent link: https://www.econbiz.de/10010316728

Finance and economic development in a model with credit rationing

Arcand, Jean-Louis; Berkes, Enrico; Panizza, Ugo - 2013

This paper develops a simple model with credit rationing and endogenous default risk in which the expectation of a bailout may lead to a financial sector which is too large with respect to the the social optimum. The paper concludes with a short discussion of how this model could be used as a...

Persistent link: https://www.econbiz.de/10010316740

The economics of geographical indications: GIs modeled as club assets

Benavente, Daniela - 2010

Geographical Indications (GIs) for products (Basmati rice, Champagne sparkling wine, Antigua coffee, etc.) were regulated at the international level in 1995 (WTO TRIPS Agreement, Part II, Section 3). This paper sets a general framework of analysis for GI-labeled goods, based on the modeling of a...

Persistent link: https://www.econbiz.de/10010316747

Regulating Asset Price Risk

Bacchetta, Philippe; Tille, Cédric; van Wincoop, Eric - 2011

There has been a long debate about whether speculators are stabilizing or not. We consider a model where speculators have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs liquidity providers in normal times, namely their...

Persistent link: https://www.econbiz.de/10010316750