R. Brüggemann

Learn More
In this paper we consider alternative modeling strategies for specification of subset VAR models. We present four strategies and show that under certain conditions a testing procedure based on t-ratios is equivalent to eliminating sequentially lags that lead to the largest improvement in a prespecified model selection criterion. One finding from our Monte(More)
Johansen's reduced rank maximum likelihood (ML) estimator for cointegration parameters in vector error correction models is known to produce occasional extreme outliers. Using a small monetary system and German data we illustrate the practical importance of this problem. We also consider an alternative generalized least squares (GLS) system estimator which(More)
We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance parameter estimators and address bootstrap inference as well. Our results are important for correct inference(More)
Many contemporaneously aggregated variables have stochastic aggregation weights. We compare different forecasts for such variables including univariate forecasts of the aggregate, a multivariate forecast of the aggregate that uses information from the disaggregate components, a forecast which aggregates a multivariate forecast of the disaggregate components(More)
We investigate the effects of monetary policy shocks in the new European Union member states Czech Republic, Hungary, Poland and Slovakia. In contrast to existing studies, we explicitly account for external developments in European Monetary Union (EMU) countries and in other acceding countries. We do so by using factor-augmented vector-autoregressive models(More)
* We thank two anonymous referees and the associate editor for very helpful comments and suggestions. Abstract The implied volatility of an option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models(More)
Acknowledgements During the time of writing this thesis I received support and encouragement from many people. Without their help the completion of this work would not have been possible. Therefore, I would like to express my sincere gratitude to everyone who helped and guided me in this journey. First I would like to thank my supervisor Prof. Ralf(More)