Inspired by findings of lowdimensional nonlinearities and the Theorem of Takens (1983) forecasting models of financial time series are often built upon nonparametric, i.e. universal nonlinear, univariate relationships. Empirical investigations, however, are seriously contaminated by the problem...

Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...

In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine di.erent emerging markets. In addition to well-known modeling approaches such as variance-covariance method and historical simulation, we study the extreme value...

This paper presents an empirical investigation of scaling and multifractal properties of U.S. Dollar-Deutschemark (USD-DEM) returns. The data set is ten years of 5-minute returns. The cumulative return distributions of positive and negative tails at di.erent time intervals are linear in the...

We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.

This paper examines the relationship between stock market development and economic growth in case of Argentina's economy. Apply Granger causality and exogeneity tests based on VEC (vector error correction) models with monthly data covering the period 1993:1-2010:8. The results show that the...

This paper focuses on the robust Effcient Method of Moments (EMM) estimation of a general parametric stationary process and proposes a broad framework for constructing robust EMM statistics in this context. This extends the application field of robust statistics to very general time series...

Preise, Einkommen, und Nachfrage - die zentralen zu erklaerenden Variablen in den Wirtschaftswissenschaften sind objektiv messbar. Daneben gibt es jedoch zwei nicht minder zentrale Groessen, Erwartungen und Praeferenzen, die sich einer direkten objektiven Messung entziehen. Es sind subjektive...

When a significance test fails to disconfirm a hypothesis economist often interpret this as evidence that this hypothesis is valid. Six such examples are cited from recent journals. But this is a misinterpretation of what significance tests show. Presumably this misinterpretation is founded on...

Economists sometimes interpret the failure of a significance test to disconfirm a hypothesis as evidence that this hypothesis is valid. Six examples of this are cited from recent journals. But this is a as interpretation of what significance tests show. While in general it is correct that every...