Publications are a vital element of any scientist's career. It is not only the number of media outlets but aslo the quality of published research that enters decisions on jobs, salary, tenure, etc. Academic ranking scales in economics and other disciplines are, therefore, widely used in...

Predictions of asset returns and volatilities are heavily discussed and analyzed in the finance research literature. In this paper, we compare linear and nonlinear predictions for stock- and bond index returns and their covariance matrix. We show in-sample and out-of-sample prediction accuracy...

I evaluate German export growth and import growth forecasts published by eight professional forecasters for the years 1971 to 2019. The focus of the evaluation is on the weak and strong efficiency as well as the unbiasedness of the forecasts. To this end, I use a novel panel-data set and...

In this paper we present a methodology which can help to improve the assessment of the current economic situation. We propose an approach which combines multivariate single equations to forecast the monthly growth rate of industrial production with a density forecast. This allows to estimate the...

We elaborate on a new distributional scheme resulting from the generalized Pearson distribution with application to financial modelling. As case studies we consider the major historical indices daily returns, DJIA, NASDAQ composite, FTSE100, CAC40, DAX and S&P500, as well as, high-frequency...

This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30-31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and discusses inter alia the following issues:...