Auflistung Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 nach Titel
Anzeige der Publikationen 222-241 von 616
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1998-03-01BuchFlexible Stochastic Volatility Structures for High Frequency Financial Data Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop ...
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2005-09-29BuchFlexible Time Series Analysis
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1999-09-01BuchForecasting Cointegrated VARMA Processes
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2006-03-16BuchForecasting performance of market share attraction models
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2005-10-12BuchForecasting sectoral trade growth under flexible exchange rates
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2005-10-12BuchForecasting the Real Output Using Fractionally Integrated Techniques The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show ...
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2000-09-01BuchFourth moments of multivariate GARCH processes
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2000-06-01BuchFractional Cointegration and Real Exchange Rates This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour ...
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1999-11-01BuchFractional Cointegration and Tests of Present Value Models This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte ...
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2005-10-13BuchFractional Integration and Business Cycle Features We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by ...
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2005-09-16BuchFractional Integration and the Dynamics of UK Unemployment This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional ...
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2001-06-03BuchFragmentation, Globalization and Labor Markets Fragmentation of the value-added-chain is modeled as the reaction of monopolistically competitive firms to the removal of barriers to trade and factor mobility in an integrated trading environment. Since fragmentation ...
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2001-02-01BuchFraming Effects on Asset Markets
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2001-02-20BuchFrom full to bounded rationality Deriving advice that can in fact be utilized by boundedly rational decision makers is a central function of modeling choice making. We illustrate why this role is not being fulfilled well by standard models of full rationality ...
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2006-01-20BuchFunctional coefficient autoregressive models In this paper we study nonparametric estimation and hypothesis testing procedures for the functional coefficient AR (FAR) models of the form Xt = f1(Xt-d)Xt-1 +…+ fp(Xt-d)Xt-p +εt, first proposed by Chen and Tsay (1993). ...
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2005-10-12BuchFurther VAR Evidence for the Effectiveness of a Credit Channel in Germany In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in Germany during the period of monetary targeting from 1975 to 1998 is analyzed. While existing studies of ...
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2005-09-29BuchGeneralized Additive Models
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2005-09-29BuchGeneralized Partial Linear Models
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1998-11-05BuchGermany’s Labor Market Problems In this study we collect information on what economists would suggest for reducing German unemployment. This was done by conducting a detailed survey containing 35 measures at two conferences of different kind. One conference ...
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2005-09-29BuchGrowth Regression and Counterfactual Income Dynamics