Inhaltspezifische Aktionen

Daniel Grabwoski

Prediction and Uncertainty in Economic Time Series


  • Bearbeiter: Dr. Daniel Grabowski
  • Titel: Prediction and Uncertainty in Economic Time Series
  • Kategorie: Promotion
  • Fachgebiet: Allgemeine Betriebswirtschaftslehre
  • Status: Abgeschlossen WS 19/20
  • Gutachter: Prof. Dr. Peter Winker, Prof. Dr. Peter Tillmann
  • Bearbeitungszeitraum: Januar 2016 bis Januar 2020


  • Abstract: This dissertation consists of four articles dealing with inference and prediction in time series analysis. Uncertainty, in its many facets, plays a key role in all the articles. Article 1 estimates the role of speculation in the price surges in commodities in the 2000s. Article 2 evaluates a bootstrap algorithm for capturing the prediction uncertainty of nonlinear models. Article 3 develops and evaluates an improved bootstrap algorithm for autoregressive models. Article 4 discusses the interpretation of evidence regarding the predictability of financial markets. The article suggests an alternative view on market efficiency to the prevailing efficient markets hypothesis.