Using Monte Carlo simulations, we compare the forecasting performance of the single equation error correction model (SEECM) with that of the (misspecified) difference autoregressive model with exogenous variables (ARX). The main result of the article is that the SEECM produces superior forecasts...

In this article, we apply the Log Periodic Power Law (LPPL), introduced by Johansen <italic>et al.</italic> (2000), for capturing the recent stock market crash in the German stock index (Deutscher Aktien Index, DAX). The contribution of this article consists not only in describing the historical crash by the...

Using a simple autoregression with exogenous variables (and its transformed error-correction model), we investigate relationships between realized return and risk measured by realized volatility. The empirical results obtained from analysing the German Stock Index (DAX) and the Dow Jones Index...