Die Fundamentalanalyse des Aktienkursindexes kann zur Ermittlung des Gleichgewichtskurses für diesen Index herangezogen werden. Meist genügen bereits wenige makroökonomische Variablen zur Erklärung eines solchen Gleichgewichts- oder Fundamentalpfads, der dem Börsenanalytiker die Aufdeckung...

In dieser Arbeit wird ein Fehlerkorrekturmechanismus zur Modellierung der Umlaufrendite festverzinslicher Wertpapiere in den Jahren 1976 - 1994 verwendet. Dabei kommen sowohl Einzelgleichungsschätzverfahren, als auch ein Systemschätzverfahren zur Anwendung.

Der vorliegende Beitrag zielt auf die Diskussion der Zeitreiheneigenschaft der Integration im Hinblick auf die Spezifikation von Fehlerkorrekturmodellen (ECM) ab. Die Erörterungen basieren auf einem einfachen Modell zur Geldangebotsentscheidung, dem ein dynamisches Optimierungsmodell in...

Parameters in AutoRegressive Moving Average (ARMA) models are locally nonidentified, due to the problem of root cancellation. Parameters can be constructed which represent this identification problem. We argue that ARMA parameters should be analyzed conditional on these identifying...

Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...

In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...

In a binary logit analysis with unequal sample frequencies of the twooutcomes the less frequent outcome always has lower estimatedprediction probabilities than the other one. This effect is unavoidable,and its extent varies inversely with the fit of the model, as given by anew measure that...

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the samplefraction, in the sense of minimal mean squared error, which is needed for tail index estimation. Unlike previous methodsour procedure is fully self contained. In particular, the...

This paper compares the behaviour of a bias-corrected estimator assuming strongly exogenous regressors to the behaviour of a bias-corrected estimator assuming weakly exogenous regressors, when in fact the marginal model contains a feedback mechanism. To this end, the effects of a feedback...

We show that the Anderson-Rubin (AR) statistic is the sum of two independent piv-otal statistics. One statistic is a score statistic that tests location and the other statistictests misspecification. The chi-squared distribution of the location statistic has a degreesof freedom parameter that is...