It is well known that the correlation between financial series varies over time. Here, the forecasting performance of different time-varying correlation models is compared for cross-country correlations of weekly G5 and daily European stock market indices. In contrast to previous studies only...

Passenger transport plays a crucial role in achieving climate-neutrality. While a switch to zero-emission vehicles is a crucial part in this process, policy makers likely have to resort to a differentiated mix of complementary policy measures to achieve global targets on climate-neutrality. To...

We consider the problem of forecasting realized variance measures. These measures are highly persistent, but also noisy estimates of the underlying integrated variance. Recently, Bollerslev, Patton and Quaedvlieg (2016, Journal of Econometrics, 192, 1-18) exploited this fact to extend the...

Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of variables in the forecasting model. We derive order invariant tests. The new tests are applicable to densities of arbitrary...

This paper addresses econometric challenges arising in panel data analyses related to IPAT (environmental Impact of Population, Affluence and Technology) models. Panel data in this context is often characterized by a large-N and large-T structure. This poses specific econometric complexities due...