Auflistung Schriftenreihen und Sammelbände nach Titel
Anzeige der Publikationen 4563-4582 von 5414
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1998-03-10BuchTemporal Aggregation and Causality in Multiple Time Series Models In this paper we characterize what has sometimes been referred to in the literature as instantaneous causality, by examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our ...
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2014-11-03DiskussionspapierTENET: Tail-Event drivenNETwork risk We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable ...
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2015-09-15DiskussionspapierTERES A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions ...
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2021-10-01ZeitschriftenartikelTerritorial intraspecific dominance behavior of the Shore crab (Carcinus maenas) The recent spreads of Carcinus maenas alongside parts of the worldwide shorelines indicate the importance of further experiments concerning the behavior of this invasive member of the family Portunidae. The na- tural habitat ...
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2001-06-20BuchTest Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time
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2008-12-29DiskussionspapierTesting directional forecast value in the presence of serial correlation Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These ...
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1999-09-13BuchTesting for a Unit Root in a Time Series with a Level Shift at Unknown Time
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2023-01DiskussionspapierTesting for Differences in Survey-Based Density Expectations. A Compositional Data Approach We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations ...
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2015-06-10DiskussionspapierTesting for Identificationin SVAR-GARCH Models Abstract Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case ...
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1998-11-01BuchTesting for Linear Autoregressive Dynamics under Heteroskedasticity One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk ...
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2017-01-13BuchTesting for Regional Convergence of Agricultural Land Prices The focus of this paper is on spatial market integration in agricultural land markets. We scrutinize the applicability of the law of one price to land markets and distinguish between absolute and relative versions of this ...
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2001-10-01BuchTesting for short and long-run causality: The case of the yield spread and economic growth
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1998-06-10BuchTesting for the Cointegrating Rank of a VAR Process with an Intercept Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative ...
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2006-09-11DiskussionspapierTesting for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated ...
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2001-09-05BuchTesting for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
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2001-07-23BuchTesting for the Cointegrating Rank of a VAR Process with Structural Shifts
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1999-02-26BuchTesting for Unit Roots in Time Series with Level Shifts Tests for unit roots in univariate time series with level shifts are proposed and investigated. The level shift is assumed to occur at a known time. It may be a simple one-time shift which can be captured by a dummy variable ...
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2002-09-01BuchTesting for Vector Autoregressive Dynamics under Heteroskedasticity
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2020-07DiskussionspapierTesting Investment Forecast Efficiency with Textual Data I use textual data to model German professional macroeconomic forecasters’ information sets and use machine-learning techniques to analyze the efficiency of forecasts. To this end, I extract information from forecast ...
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2017-02-28DiskussionspapierTesting Missing at Random using Instrumental Variables This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure ...