Introduction

Abstract

Over the last decades, the dynamic properties of economic and financial time series have increasingly attracted the interest not only of financial econometricians, but also of politicians and publicity. The latter mainly in such periods where financial indicators seemingly drifted away from their fundamental value. Two examples of such ‘speculative bubbles’, as this phenomenon is called in modern finance literature, are the Dollar-boom in the mid-eighties and the stock market crash in October 1987. — The former, because financial econometrics serves as the basis for many decisions in governments, central banks, private banks, and investment companies, to name just a few. Also, the profit of large industrial companies crucially depends on major financial indicators. For example, a German internationally active company is interested in a high DM/Dollar exchange rate, but faces the uncertainty of a price decline in foreign markets.