If there is valuable information for predicting bond prices over time, how can we use this information to improve investor's risk-return trade-off and term structure modelling? This thesis aims at answering this question. The first chapter discusses the predictive role of alternative measures of...

This dissertation addresses two different kinds of agents, professional forecasters and manufacturing firms, and their means of dealing with information in forming expectations. The first two parts evaluate the macroeconomic forecasting performance of component-wise boosting, a variable...

Im Gegensatz zur Volatilität wurde der Korrelation in der Forschung bisher viel weniger Beachtung geschenkt, obwohl die Korrelation in der Finanzwissenschaft eine zentrale Rolle spielt. Die vorliegende Doktorarbeit ergänzt die bestehende Literatur, indem sie verschiedene Aspekte der...

This thesis develops new methods to assess two types of financial risk. Market risk is defined as the risk of losing money due to drops in the values of asset portfolios. Systemic risk refers to the breakdown risk for the financial system induced by the distress of individual companies. During...