Liechtenstein's economy has been heavily affected by the international economic downturn during the financial crisis. Additionally to the deep world recession, Liechtenstein's financial sector was challenged by the Zumwinkel-Affair (data of thousands of tax evaders were sold to several...

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many limitations. HF data feature microstructure problem,...

We use the monetary model of exchange rate determination to generate in-sample and out-of-sample forecasts of the Rupee-Dollar exchange rate. The assumptions of flexible prices and maintenance of Purchasing Power Parity implies that the domestic price level and the exchange rate are endogenously...

This paper aims to shed new light on ”law of one-price” in the United States’ gasoline market over the period June-2003-December-2019. Specifically, we test for convergence of the retail prices of gasoline in di↵erent US PADDs, states and cities using the Local Whittle estimator (LW) and...

In this study, we present a combinatory chaos analysis of daily wavelet-filtered (denoised) S&P 500 returns (2000–2020) compared with respective surrogate datasets, Brownian motion returns and a Lorenz system realisation. We show that the dynamics of the S&P 500 return series consist of an...

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The aim is to analyze its performance, and mitigate its pitfalls by incorporating conditional variance estimates, as generated by a GARCH model. Notably, this paper tests several...

Deriving estimators from historical data is common practice in applied quantitative finance. The availability of ever larger data sets and easier access to statistical algorithms has also led to an increased usage of historical estimators. In this research note, we illustrate how to assess the...

Liechtenstein's economy has been heavily affected by the international economic downturn during the financial crisis. Additionally to the deep world recession, Liechtenstein's financial sector was challenged by the "Zumwinkel-Affair" (data of thousands of tax evaders were sold to several...

Additionally to the financial crisis causing a world recession, Liechtenstein’s financial sector has been challenged by the so-called "Zumwinkel-Affair" when a whistle-blower sold data of hundreds of tax evaders to international tax authorities. This paper investigates the impact of this...

This paper reviews recent developments in nonparametric identi.cation of mea- surement error models and their applications in applied microeconomics, in particular, in empirical industrial organization and labor economics. Measurement error models describe mappings from a latent distribution to...