TY - BOOK A1 - Kunze, Karl-Kuno A1 - Strohe, Hans Gerhard T1 - Time-varying persistence in the German stock market N2 - This paper studies the persistence of daily returns of 21 German stocks from 1960 to 2008. We apply a widely used test based upon the modified R/S-Method by Lo [1991]. As an extension to Lux [1996] and Carbone et al. [2004] and in analogy to moving average or moving volatility, the statistics is calculated for moving windows of length 4, 8, and 16 years for every time series. Periods of persistence or long memory in returns can be found in some but not all time series. Robustness of results is verified by investigating stationarity and short memory effects. T3 - Statistische Diskussionsbeiträge - 37 KW - Persistenz KW - Aktienmarkt KW - persistence KW - stock market Y1 - 2010 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-42046 ER - TY - BOOK A1 - Strohe, Hans Gerhard T1 - Time Series Analysis : Textbook for Students of Economics and Business Administration Y1 - 2004 UR - http://www.uni-potsdam.de/statoek/documents/zeitr/Time_Series_Analysis_Script2.pdf PB - Univ. CY - Potsdam ER - TY - BOOK A1 - Strohe, Hans Gerhard T1 - Time series analysis BT - textbook for students of economics and business administration ; [part 2] KW - Zeitreihenanalyse KW - Stationärer Prozess KW - Spektraldichte KW - Autokorrelation KW - Time Series Analysis KW - Stationary Stochastic Processes KW - ARMA Processes KW - Autocorrelation KW - Spectral Density KW - ARIMA Models KW - ARCH KW - GARCH Y1 - 2004 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-6601 ER - TY - JOUR A1 - Strohe, Hans Gerhard T1 - The use of confidential industrial microdata of the Brandenburg official statistics for modelling regional economics : a project report Y1 - 2000 ER - TY - JOUR A1 - Strohe, Hans Gerhard A1 - Achsani, Noer Azam T1 - The transmission of economic fluctuations between Russia, Europe, Asia and North America Y1 - 2006 SN - 3-540-24183-3 ER - TY - JOUR A1 - Rambert, Laurence A1 - Strohe, Hans Gerhard T1 - The perspective of new organisation of work with regard on the position of the labour market in the state of Brandenburg : a statistical analysis Y1 - 1999 ER - TY - BOOK A1 - Nastansky, Andreas A1 - Strohe, Hans Gerhard T1 - The impact of changes in asset prices on real economic activity : a cointegration analysis for Germany N2 - This paper reviews theoretical and empirical evidence of asset price movements impact on the real economic activity. A key channel is the wealth effect on consumption. Fluctuations in stock prices and housing prices influence the households wealth and could have important impacts on households consumption. In addition, stock prices may affect corporate sector investments and property prices may affect building activity. Here, the method of cointegration is used to estimate the wealth effect and the investment effect in aggregate time series for Germany after the Reunification in 1990. Moreover, we discuss the role of asset prices in the monetary policy strategy of the ECB. T3 - Statistische Diskussionsbeiträge - 38 KW - Stock Prices KW - Property Prices KW - Consumption KW - Investment KW - Central Banking Policy Y1 - 2010 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-43762 ER - TY - JOUR A1 - Faber, Cathleen A1 - Strohe, Hans Gerhard T1 - Structure and Growth of Private Consumption in Russia and East Germany Y1 - 2003 SN - 3-540-00910-8 ER - TY - JOUR A1 - Strohe, Hans Gerhard A1 - Faber, Cathleen T1 - Official statistics in russia and the measurement of the crisis : some remarks on russian price statistics Y1 - 2000 ER - TY - JOUR A1 - Strohe, Hans Gerhard T1 - Dynamic partial-least-squares models Y1 - 1997 ER - TY - JOUR A1 - Strohe, Hans Gerhard T1 - Dynamic partial least squares models Y1 - 1996 ER - TY - JOUR A1 - Strohe, Hans Gerhard T1 - Dynamic latent variables path models : an alternative PLS estimation JF - Statistische Diskussionsbeiträge Y1 - 1995 VL - 1 PB - Univ. CY - Potsdam ER - TY - BOOK A1 - Strohe, Hans Gerhard T1 - Dynamic latent variables path models : an alternative PLS estimation N2 - In this paper a partial least squares (PLS) approach to dynamic modelling with latent variables is proposed. Let Y be a matrix of manifest variables and H the matrix of the corresponding latent variables. And let H = BH+ε be a structural PLS model with a coefficient matrix B. Then this model can be made a dynamic one by substituting for B a matrix F = B + CL containing the lag operator L. Then the structural dynamic model H = FH+ε is formally estimated like an ordinary PLS model. In an exploratory way the model can be used for forecasting purposes. The procedure is being programmed in ISP. T3 - Statistische Diskussionsbeiträge - 01 KW - PLS KW - dynamic models KW - path models Y1 - 1995 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-29498 ER - TY - JOUR A1 - Strohe, Hans Gerhard A1 - Noer, Achsani T1 - Dynamic causal relationships between central-east european stock market prices and selected international indices Y1 - 2004 ER - TY - JOUR A1 - Achsani, Noer Azam A1 - Strohe, Hans Gerhard T1 - Dynamic causal links between the russian stock exchange and selected international stock markets Y1 - 2004 ER - TY - BOOK A1 - Strohe, Hans Gerhard A1 - Härdle, Wolfgang A1 - Geppert, Frank T1 - DPLS in XploRe : a PLS approach to dynamic path models T3 - Discussion Paper / Humboldt-Universität zu Berlin, SFB 373, Quantifikations und Simulatio Y1 - 1999 SN - 1436-0640 PB - Humboldt-Univ. CY - Berlin ER - TY - JOUR A1 - Geppert, Frank A1 - Strohe, Hans Gerhard T1 - DPLS : partial least squares program Y1 - 2001 SN - 3-540-67545-0 ER - TY - JOUR A1 - Strohe, Hans Gerhard A1 - Faber, Cathleen T1 - Core inflation in Russia : different approaches for the period from january 1997 to april 2003 Y1 - 2005 ER - TY - JOUR A1 - Faber, Cathleen A1 - Strohe, Hans Gerhard T1 - Consumer prices in russia and transforming official statistics Y1 - 2000 ER - TY - BOOK A1 - Kunze, Karl-Kuno A1 - Strohe, Hans Gerhard T1 - Antipersistence in German stock returns N2 - Persistence of stock returns is an extensively studied and discussed theme in the analysis of financial markets. Antipersistence is usually attributed to volatilities. However, not only volatilities but also stock returns can exhibit antipersistence. Antipersistent noise has a somewhat rougher appearance than Gaussian noise. Heuristically spoken, price movements are more likely followed by movements in the opposite direction than in the same direction. The pertaining integrated process exhibits a smaller range – prices seem to stay in the vicinity of the initial value. We apply a widely used test based upon the modified R/S-Method by Lo [1991] to daily returns of 21 German stocks from 1960 to 2008. Combining this test with the concept of moving windows by Carbone et al. [2004], we are able to determine periods of antipersistence for some of the series under examination. Our results suggest that antipersistence can be found for stocks and periods where extraordinary corporate actions such as mergers & acquisitions or financial distress are present. These effects should be properly accounted for when choosing and designing models for inference. T3 - Statistische Diskussionsbeiträge - 39 KW - Antipersistence KW - capital and ownership structure KW - efficient market hypothesis KW - long memory KW - mergers and acquisitions KW - stock returns Y1 - 2010 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-45582 ER - TY - BOOK A1 - Kunze, Karl-Kuno A1 - Strohe, Hans Gerhard T1 - Antipersistence in German Stock Returns T3 - Statistische Diskussionsbeiträge Y1 - 2010 SN - 0949-068x VL - 39 PB - Univ. CY - Potsdam ER - TY - BOOK A1 - Nastansky, Andreas A1 - Mehnert, Alexander A1 - Strohe, Hans Gerhard T1 - A vector error correction model for the relationship between public debt and inflation in Germany N2 - In the paper, the interaction between public debt and inflation including mutual impulse response will be analysed. The European sovereign debt crisis brought once again the focus on the consequences of public debt in combination with an expansive monetary policy for the development of consumer prices. Public deficits can lead to inflation if the money supply is expansive. The high level of national debt, not only in the Euro-crisis countries, and the strong increase in total assets of the European Central Bank, as a result of the unconventional monetary policy, caused fears on inflating national debt. The transmission from public debt to inflation through money supply and long-term interest rate will be shown in the paper. Based on these theoretical thoughts, the variables public debt, consumer price index, money supply m3 and long-term interest rate will be analysed within a vector error correction model estimated by Johansen approach. In the empirical part of the article, quarterly data for Germany from 1991 by 2010 are to be examined. T3 - Statistische Diskussionsbeiträge - 51 KW - Beveridge-Nelson Decomposition KW - Public Debt KW - Inflation KW - Money Supply KW - Vector Error Correction Model Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-50246 ER - TY - JOUR A1 - Strohe, Hans Gerhard T1 - A heuristic partial-least-squares approach to estimating dynamic path models JF - Classification, Data Analysis, and Data Highways T2 - Proceedings of the 21st Annual Conference of the Gesellschaft für Klassifikation e.V., University of Potsdam, March 12-14, 1997 Y1 - 1998 SN - 3-540-63909-8 U6 - https://doi.org/10.1007/978-3-642-72087-1 PB - Springer CY - Berlin, Heidelberg ER - TY - JOUR A1 - Strohe, Hans Gerhard T1 - A dynamical partial least sqares approach to macroeconometric modelling Y1 - 1996 ER -