The paper investigates a set of possible leading indicators for Euroland's business cycle using aggregated quarterly data. The theoretical plausibility, the behavior at business cycle turning points and the mean leads are analyzed. Furthermore, evidence from cross-correlations and...

Probit models are employed to evaluate leading indicators for Germany's recessions. The predictive power of leading indicators is found to be lower than assumed in previous studies. Although, monetary variables provide the best predictive power for recessions, survey data and order inflows show...

This paper considers the problem of forecasting real and financial macroeconomic variables across a large number of countries in the global economy. To this end a global vector autoregressive (GVAR) model previously estimated over the 1979Q1-2003Q4 period by Dees, de Mauro, Pesaran, and Smith...

This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

In recent years it has become apparent that many of the classical testing procedures used to select amongst alternative economic theories and economic models are not realistic. In particular, researchers have become more aware of the fact that parameter estimation error and data dependence play...

This Chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed. And a variety of different specifications and model evaluation tests due to various authors including Christoffersen and...