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Now showing items 1-10 of 10
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2005-03-04BuchAre Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary, and PolandBrüggemann, Ralf; Trenkler, CarstenThe 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 ...
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2002-10-22BuchComparison of Model Reduction Methods for VAR Processes Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, HelmutThe 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 ...
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2006-03-07BuchFinite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions Brüggemann, RalfThis 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 ...
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2006-09-11BuchForecasting Euro-Area Variables with German Pre-EMU Data Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, MassimilianoIt 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 ...
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2000-05-12BuchLag Selection in Subset VAR Models with an Application to a U.S. Monetary System Brüggemann, Ralf; Lütkepohl, Helmut
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2005-10-06BuchOn the Small Sample Properties of Weak ExogeneityTests in Cointegrated VAR models Brüggemann, RalfWe 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 ...
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2001-04-02BuchSources of German Unemployment: A Structural Vector Error Correction Analysis Brüggemann, Ralf
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2005-09-29BuchUncovered Interest Parity What can we learn from panel data?Breitung, Jörg; Brüggemann, Ralf
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2005-06-22BuchUncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure Empirical Results for the U.S. and EuropeBrüggemann, Ralf; Lütkepohl, HelmutA 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 ...
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2006-02-03BuchVAR Modeling for Dynamic Semiparametric Factors of Volatility Strings Brüggemann, Ralf; Härdle, Wolfgang Karl; Mungo, Julius; Trenkler, CarstenThe 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 ...