Different studies provide a surprisingly large variety of controversial conclusions about the forecasting power of an indicator, even when it is supposed to forecast the same time series. In this study, we aim to provide a thorough overview of linear forecasting techniques and draw conclusions...

This Handbook aims to provide an overview of regular survey activities, as well as to show how survey results can be used scientifically in the context of business-cycle analysis and forecasting.

We provide a detailed hands-on tutorial for the R add-on package <Emphasis Type="Bold">mboost. The package implements boosting for optimizing general risk functions utilizing component-wise (penalized) least squares estimates as base-learners for fitting various kinds of generalized linear and generalized additive...</emphasis>

In this paper we construct a model of stock market, interest rate and output interaction which is a generalization of the well known 1981 model of Blanchard. We allow for imperfect substitutability between stocks and bonds in the asset market and for lagged portfolio adjustment. The reaction of...

This paper investigates the problem of testing for the symmetry of linear time series driven by asymmetric innovations. In particular, we examine the performance of alternative symmetry tests when innovations are fat tailed. Among the tests considered, only the test based on the tail estimator...

In recent years, with the availability of high-frequency financial market data modeling realized volatility has become a new and innovative research direction. The construction of “observable” or realized volatility series from intra-day transaction data and the use of standard time-series...

While much of classical statistical analysis is based on Gaussian distributional assumptions, statistical modelling with the Laplace distribution has gained importance in many applied fields. This phenomenon is rooted in the fact that, like the Gaussian, the Laplace distribution has many...