Professoren
Univ.-Prof. Dr. Robert M. Kunst

Univ.-Prof. Dr. Robert M. Kunst

Publications

Trivariate ARCH Estimation of Exchange Rate Volatility Spillovers in Commodity Markets
(with Adusei Jumah)
in: Progress in Economics Research, F. Columbus (ed.), Nova Science Publishers (in press)

Decisions on seasonal unit roots
(with Michael Reutter)
Journal of Statistical Computation and Simulation 72, 403-418 (2002)

Forecasting High-frequency Financial Data with the ARFIMA-ARCH model
(with Michael A. Hauser)
Journal of Forecasting 20, 501-518 (2001)

The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa
(with Adusei Jumah)
European Review of Agricultural Economics 28, 307-328 (2001)

On the Role of Seasonal Intercepts in Seasonal Cointegration
(with Philip H. Franses)
Oxford Bulletin of Economics and Statistics 61, 409-434 (1999)

The Impact of Seasonal Constants on Forecasting Seasonally Cointegrated Time Series
(with Philip H. Franses)
Journal of Forecasting 17, 109-124 (1998)

Fractionally Integrated Models with ARCH Errors: With an Application to the Swiss One-Month Euromarket Interest Rate
(with Michael A. Hauser)
Review of Quantitative Finance and Accounting 10(1), 95-113 (1998)

Augmented ARCH models for financial time series: stability conditions and empirical evidence
Applied Financial Economics 7, 575-586 (1997)

Fourth-Order Moments of Augmented ARCH Processes
Communications in Statistics, Theory and Methods 26, 1425-1442 (1997)

Testing for Cyclical Non-Stationarity in Autoregressive Models
Journal of Time Series Analysis 12, 137-156 (1997)

Forecasting Seasonally Cointegrated Systems: Supply Response of the Austrian Breeding Sow Herd
(with Adusei Jumah)
European Review of Agricultural Economics 23(4), 487-507 (1996)

Estimating Discrete Parameters: An Application to Cointegration and Unit Roots
Oesterreichische Zeitschrift für Statistik 25, 7-32. (1996)

Trend Interpolation and the Persistence of Fluctuations in U.S. GNP
(with Albert Jaeger)
in: Th. Url and A. Wörgötter (eds.), Econometrics of Short and Unreliable Time Series, Physica-Verlag, Heidelberg (1995)

A Note on Generation, Estimation and Prediction of Stationary Processes
(with Michael A. Hauser, W. Hörmann, and J. Lenneis)
COMPSTAT Conference Series (1994).

Modelling Exchange Rates: Long-Run Dependence versus Conditional Heteroscedasticity
(with Michael A. Hauser and Erhard Reschenhofer)
Applied Financial Economics 4(3), 233-39 (1994)

Structuring Volatile Swiss Interest Rates: Some Evidence on the Present Value Model and a VAR-VARCH Approach
(with Wolfgang Polasek)
in: J. Kaehler and P. Kugler (ed.), Econometric Analysis of Financial Markets, pp. 105-128, Physica-Verlag, Heidelberg (1994).

Stability Conditions for a Bivariate ARCH System Which is Cointegrated in Mean
Communications in Statistics, Theory and Methods 22(10), 2941-2953 (1993).

Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Series
Empirical Economics 18(4), 761-76 (1993)

Apparently Stable Increments in Finance Data: Could ARCH Effects be the Cause?
Journal of Statistical Computation and Simulation 45, 121-127 (1993).

Seasonal Cointegration in Macroeconomic Systems: Case Studies for Small and Large European Countries
Review of Economics and Statistics LXXV, 325-330 (1993).

Seasonal Models and Seasonal Adjustment
Oesterreichische Zeitschrift fuer Statistik und Informatik 21, 177-188 (1992)

Testing for Normality and Randomness of Austrian Stock Market Data
with Erhard Reschenhofer and Kurt Rodler)
Empirical Economics 16, 465-477 (1991)

Cointegration in a Macroeconomic System
(with Klaus Neusser)
Journal of Applied Econometrics, Vol.5, 351-365 (1990)

Seasonal Adjustment and Measuring Persistence in Output
with Albert Jaeger)
Journal of Applied Econometrics, Vol. 5, 47-58 (1990)

On Exports and Productivity: A Causal Analysis
(with Dalia Marin)
Review of Economics and Statistics Vol. LXXI, No.4, 699-703 (1989)

The Performance of Robust Filtering: Some Monte Carlo Evidence
Computational Statistics Quarterly 5,1,53-76 (1989)

Causality and Non-Stationary Data: A Simulation Study
(with Wolfgang Polasek)
Computational Statistics Quarterly 4(1988),1,3-22

The Export-Productivity Relationship: A Time Series Representation for Austria
(with Dalia Marin)
Empirica 1'87,55-75

Forecasting with Vector Autoregressive Models
(with Klaus Neusser)
Empirica 2'86,187-202

A Forecasting Comparison of Some VAR Techniques
(with Klaus Neusser)
International Journal of Forecasting 2(1986), 447-456

The Influence of Wage Rate Variations on the Level of Employment with and without an Exogenous Interest Rate
(with Georg Winckler)
in: Frisch, H., Gahlen, B. (eds.), Causes of Contemporary Stagnation, Springer, Vienna, 1986


Recent Working Papers

Testing for relative predictive accuracy : A critical viewpoint (New version October 2003)
(presented at the METU Conference in Ankara, September 2003)

Forecasting interest rates and inflation from bivariate time-series models:
Can threshold cointegration models beat linear structures? (New version December 2003)
(with Adusei Jumah)

Decision maps for bivariate time series with potential threshold cointegration (New version September 2003)
(presented at the RSS Meeting in Plymouth, September 2002)

Testing for stationarity in a cointegrated system (New version July 2003)
(presented at the ESEM Meeting in Lausanne, August 2001)

Decisions on the causal structure of vector autoregressions (December 2001)
(presented at the EC² Meeting in Louvain-la-Neuve, December 2001)

Optimizing prediction loss in estimating the cointegrating rank in vector autoregressions (March 2001)
(presented at the EC² Meeting in Stockholm, December 1998)

Exchange-Rate Volatility Spill-overs in Equity Asset Markets
(with Adusei Jumah)

Testing Common Deterministic Seasonality, with an application to industrial production
(with Philip Hans Franses)

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