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Browsing by Author "Krätschmer, Volker"
Now showing items 1-10 of 10
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2009-02-17BuchA Microeconomic Explanation of the EPK Paradox Härdle, Wolfgang Karl; Krätschmer, Volker; Moro, RouslanSupported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might ...
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2010-10-27BuchCentral limit theorems for law-invariant coherent risk measures Belomestny, Denis; Krätschmer, VolkerIn this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk measures. Under rather mild conditions not relying on the explicit representation of the risk measure under ...
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2006-12-11BuchCompactness in Spaces of Inner Regular Measures and a General Portmanteau Lemma Krätschmer, VolkerThis paper may be understood as a continuation of Topsøe’s seminal paper ([16]) to characterize,within an abstract setting, compact subsets of finite inner regular measures w.r.t. the weak topology.The new aspect is that ...
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2008-05-27BuchDynamic Semiparametric Factor Models in RiskNeutral Density Estimation Giacomini, Enzo; Härdle, Wolfgang Karl; Krätschmer, VolkerDimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but ...
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2007-03-01BuchOn σ−additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model Krätschmer, VolkerRecently, Frittelli and Scandolo extend the notion of risk measures, originally introduced by Artzner, Delbaen, Eber and Heath, to the risk assessment of abstract financial positions, including pay offs spread over different ...
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2010-09-09BuchParametric estimation of risk neutral density functions Grith, Maria; Krätschmer, VolkerThis chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the hypothesis of the risk neutral valuation principle. After justifying this hypothesis, we shall focus on ...
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2013-05-06BuchReference Dependent Preferences and the EPK Puzzle Grith, Maria; Härdle, Wolfgang Karl; Krätschmer, VolkerSupported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized fact. Based on an economic model with state dependent preferences for the financial investors, we want ...
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2009-11-09BuchRepresentations for optimal stopping under dynamic monetary utility functionals Krätschmer, Volker; Schoenmakers, JohnIn this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular ...
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2010-06-15BuchSensitivity of risk measures with respect to the normal approximation of total claim distributions Krätschmer, Volker; Zähle, HenrykA simple and commonly used method to approximate the total claim distribution of a (possible weakly dependent) insurance collective is the normal approximation. In this article, we investigate the error made when the normal ...
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2006-12-11BuchThe Uniqueness of Extremum Estimation Krätschmer, VolkerLet W denote a family of probability distributions with parameter space G, and WG be a subfamily of W depending on a mapping G: Θ -> \"Τ\". Extremum estimations of the parameter vector ν ∈ Θ are considered.Some ...
