Recent working papers

• The following working papers are downloadable postscript-files (*.ps). All files are packed to provide faster transmission. You can use winzip to unpack the files. If there is no ghostview installed on your machine you also need ghostview for reading the papers. You can download the required ghostview-sourcefiles from the Aladdin Corp. homepage or from one of it's mirror sites. 

  • Stock Prices and Economic Fluctuations: A Marvok Switching Structural Vector Autoregressive Analysis - Corrected Version
  • Forecasting with VARMA Models
  • A Small Monetary System for the Euro Area Based on German Data
  • Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
  • Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative
  • Recent Advances in Cointegration Analysis
  • Residual Autocorrelation Testing for Vector Error Correction Models
  • Detailed Proofs to Accompany Testing for the Cointegrating Rank of a VAR Proces with Level Shifts at Unknown Time
  • Structural Vector Autoregressions with Nonnormal Residuals
  • Problems Related to Over-Identifying Restrictions for Structural Vector Error Correction Models
  • Structural Vector Autoregressive Analysis for Cointegrated Variables
  • Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe
  • Identifying Monetary Policy Shocks via Changes in Volatility
  • Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
  • Forecasting Euro-Area Variables with German Pre-EMU Data
  • Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance
  • Econometric Analysis with Vector Autoregressive Models