A recent strand of literature (see Morris and Shin 2001) shows that multiple equilibria in models of markets for pegged currencies vanish if there is slightly diverse information between traders. It is known that this approach works only if there is not too precise common knowledge in the...

We analyze macroeconomic data using univariate and multivariate forecast combining techniques. We simulate forecast errors with different variance-covariance structures. The simulations are used to compare the performance of univariate and multivariate combining techniques.

Cointegration describes the pattern that pairs of time series keep together in long run, although they diverge in short run. A generalisation of this behaviour is the fractional cointegration. Two statistical tests, the M– and ML–test are formulated for fractional cointegration in different...

In this paper business cycles are considered as a multivariate phenomenon and not as a univariate one determined e.g. by the GNP. The subject is to look for the number of phases of a business cycle, which can be motivated by the number of clusters in a given dataset of macro-economic variables....

Die finanzwirtschaftliche Bedeutung von Kreditausfällen und Kreditausfall- Prognosen bedarf keiner weiteren Begründung. Dieser Bedeutung angemessen, gibt es inzwischen eine Vielzahl von Modellen und Verfahren, die Ausfallwahrscheinlichkeiten von Bankkrediten oder Industrieanleihen zu...