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Forecasting performance of market share attraction models : a comparison of different models assuming that competitors’ actions are forecasts

Klapper, Daniel; Herwartz, Helmut - 1998

Persistent link: https://www.econbiz.de/10009578563

Testing for short and long-run causality : the case of the yield spread and economic growth

Breitung, Jörg; Candelon, Bertrand - 2001

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

Persistent link: https://www.econbiz.de/10009617950

Self-rated and changes in self-rated health as predictors of mortality : first evidence from german panel data

Schwarze, Johannes; Andersen, Hanfried H.; Anger, Silke - 2002

. However, no empirical evidence exists for Germany so far. We investigate the effectiveness of (i) self-ratings of health by … individuals and (ii) changes in self-rated health, as predictors of mortality for Germany. Methods: A sub-sample of 3 … a valid predictor of mortality in Germany, adding previously self-rated health has no effect on explaining the …

Persistent link: https://www.econbiz.de/10009626677

Predictive accuracy of political stock markets : empirical evidence from a European perspective

Berlemann, Michael; Schmidt, Carsten - 2001

In a meta study of 25 political stock markets conducted in Germany in the last decade we analyze their predictive … stock markets relative to the polls is market efficiency. Even though the overall predictions of the political stock markets … attributed to the vote share size and to individual trader biases. -- market efficiency ; forecasting ; political stock markets …

Persistent link: https://www.econbiz.de/10009614879

How accurate do markets predict the outcome of an event? : the Euro 2000 soccer championships experiment

Schmidt, Carsten; Werwatz, Axel - 2002 - Rev.

asset markets ; prognosis ; market efficiency …

Persistent link: https://www.econbiz.de/10009621415

Forecasting cointegrated VARMA processes

Lütkepohl, Helmut - 1999

Persistent link: https://www.econbiz.de/10009581104

Backtesting beyond VaR

Härdle, Wolfgang; Stahl, Gerhard - 1999

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows...

Persistent link: https://www.econbiz.de/10009582401