We construct economic tracking portfolios from Austrian stock market returns, euro/dollar exchange rate changes and changes in the oil price to extract revisions of market expectations about future industrial production growth and inflation in Austria. The forecasting ability of the portfolios...

Engles ARCH test has become the standard test for ARCH effects in applied work. Under non-normality the true rejection probability of this test can differ substantially from the nominal level, however. Bootstrap and Monte Carlo versions of the test may then be used instead. This paper proposes...

Density forecasts have become important in finance and play a key role in modern risk management. Using a flexible density forecast evaluation framework that extends the Berkowitz likelihood ratio test this paper evaluates in- and out-of-sample density forecasts of daily returns on the DAX, ATX...