Browsing Schriftenreihen und Sammelbände by Title
Now showing items 35-54 of 4677
-
2001-07-18BuchA Benchmark Model for Financial Markets
-
2009-10-21BuchA blocking and regularization approach to high dimensional realized covariance estimation We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we ...
-
2000-02-24BuchA Bootstrap Test for Single Index Models
-
2008-12-18BuchA Brand Specific Investigation of International Cost Shock Threats on Price and Margin with a Manufacturer-Wholesaler-Retailer Model In times of increasing oil prices and a weak dollar, European companies that focus their business on the US market may find themselves in a weak position. While many businesses can hedge this kind of risk by relocating ...
-
1997-02-07BuchA class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage ...
-
2006-01-24BuchA Combined Approach for Segment-Specific Analysis of Market Basket Data There are two main research traditions for analyzing market basket data that exist more or less independently from each other, namely exploratory and explanatory model types. Exploratory approaches are restricted to the ...
-
2011-09-20BuchA combined BDF-semismooth Newton approach for time-dependent Bingham flow This paper is devoted to the numerical simulation of time-dependent convective Bingham flow in cavities. Motivated by a primal-dual regularization of the stationary model, a family of regularized time-dependent problems ...
-
2005-10-12BuchA Comparison of Punishment Rules in Repeated Public Good Games An Experimental StudyIn this experimental study we analyse three collective and one individual punishment rule in a public good setting. We show that under all punishment rules cooperation is stronger and more sustainable than reported from ...
-
2011-01-03BuchA Confidence Corridor for Expectile Functions Let (X1; Y1), …, (Xn; Yn) be i.i.d. rvs and let v(x) be the unknown τ - expectile regression curve of Y conditional on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency ...
-
2011-01-03BuchA Confidence Corridor for Sparse Longitudinal Data Curves Longitudinal data analysis is a central piece of statistics. The data are curves and they are observed at random locations. This makes the construction of a simultaneous confidence corridor (SCC) (confidence band) for the ...
-
2008-01-07BuchA Consistent Nonparametric Test for Causality in Quantile This paper proposes a nonparametric test of causality in quantile. Zheng (1998) has proposed an idea to reduce the problem of testing a quantile restriction to a problem of testing a particular type of mean restriction in ...
-
2006-02-02BuchA Consistent Nonparametric Test of the Convexity of Regression Based on Least Squares Splines This paper provides a test of convexity of a regression function. This test is based on the least squares splines. The test statistic is shown to be asymptotically of size equal to the nominal level, while diverging to ...
-
2014-01-13BuchA consistent two-factor model for pricing temperature derivatives We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological ...
-
2006-09-11BuchA Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties We propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market ...
-
2006-01-01BuchA convergent adaptive finite element method for an optimal design problem Abstract. The optimal design problem for maximal torsion stiffness of an infinite bar of given geometry and unknown distribution of two materials of prescribed amounts is one model example in topology optimisation. It ...
-
2005-08-05BuchA Convergent Adaptive Finite Element Method For The Primal Problem Of Elastoplasticity The boundary value problem representing one time step of the primal formulation of elastoplasticity with positive hardening leads to a variational inequality of the second kind with some non-differentiable functional. This ...
-
2014-01-13MasterarbeitA Digital Registry for Archaeological Find Spots and Excavation Documentation in IANUS Grey literature (site notebooks, reports etc.) and research data in archaeology are invaluable sources of information currently lacking a central reference registry in Germany. This paper discusses requirements and the ...
-
2006-01-01BuchA Domain Decomposition method based on iterative Operator Splitting method. In this article a new approach is proposed for constructing domain decomposition methods based on iterative operator splitting methods. We study the convergence properties of such a method. The main feature of the method ...
-
2012-01-05BuchA Donsker Theorem for Lévy Measures Given n equidistant realisations of a Lévy process (Lt; t >= 0), a natural estimator for the distribution function N of the Lévy measure is constructed. Under a polynomial decay restriction on the characteristic function, ...
-
1995-04-26BuchA Dual Method for the Unit Commitment Problem In this paper a method for solving a mid-term unit commitment problem in a large scale thermal power system is presented. This method is based on Lagrangian relaxation and uses a bundle method for solving the nonsmooth ...
