Browsing by Author "55012034b2fc4cc68537b3e5df85662e"

Now showing items 1-10 of 10

2005-03-04Buch

Are Eastern European Countries Catching Up?

Time Series Evidence for Czech Republic, Hungary, and Poland

Brüggemann, Ralf; Trenkler, Carsten

The catching up process in Czech Republic, Hungary, and Poland is analyzed by investigating the integration properties of log-differences in per-capita GDP versus the EU15 and a Mediterranean country group. We account for ...
2002-10-22Buch

Comparison of Model Reduction Methods for VAR Processes

Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut

The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies ...
2006-03-07Buch

Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions

Brüggemann, Ralf

This paper investigates the finite sample properties of confidence intervals for structural vector error correction models (SVECMs) with long-run identifying restrictions on the impulse response functions. The simulation ...
2006-09-11Buch

Forecasting Euro-Area Variables with German Pre-EMU Data

Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, Massimiliano

It is investigated whether Euro-area variables can be forecast better based on synthetic time series for the pre-Euro period or by using just data from Germany for the pre-Euro period. Our forecast comparison is based on ...
2000-05-12Buch

Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System

Brüggemann, Ralf; Lütkepohl, Helmut
2005-10-06Buch

On the Small Sample Properties of Weak ExogeneityTests in Cointegrated VAR models

Brüggemann, Ralf

We investigate the small sample properties of two types of weak exogeneity tests in cointegrated VAR models that are frequently used in applied work. The first one is the standard Likelihood Ratio (LR) test in the Johansen ...
2001-04-02Buch

Sources of German Unemployment: A Structural Vector Error Correction Analysis

Brüggemann, Ralf
2005-09-29Buch

Uncovered Interest Parity

What can we learn from panel data?

Breitung, Jörg; Brüggemann, Ralf
2005-06-22Buch

Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure

Empirical Results for the U.S. and Europe

Brüggemann, Ralf; Lütkepohl, Helmut

A system of U.S. and euro area short- and long-term interest rates is analyzed. According to the expectations hypothesis of the term structure the interest rate spreads should be stationary and according to the uncovered ...
2006-02-03Buch

VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings

Brüggemann, Ralf; Härdle, Wolfgang Karl; Mungo, Julius; Trenkler, Carsten

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that ...