This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and ...

The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices. We ...

Option pricing models are calibrated to market data of plain vanillas by minimization of an error functional. From the economic viewpoint, there are several possibilities to measure the error between the market and the ...

Inwieweit können Archivsammlungen in einem Bibliothekssystem nicht nur katalogisiert, sondern auch in Bereichen wie Akquise und Umlauf verwaltet werden? Das Leo Baeck Institute in New York, ein Spezialarchiv zur ...

Empirical observations show that education helps to protect against labor market risks. This is twofold: The higher educated face a higher expected wage income and a lower probability of being unemployed. Although this ...

Many companies depend on weather conditions, so they require reliable weather forecasts for production planning or risk hedging. In this article, we propose a new way of gaining weather forecasts by exploiting the ...

In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r < r0. Such a test flips the null and alternative hypotheses of Johansen’s LR test and can be used jointly ...

In the heterogeneous experimental oligopoly markets of this paper, sellers first choose capacities and then prices. In equilibrium, capacities should correspond to the Cournot prediction. In the experimental data, given ...

We introduce a multivariate multiplicative error model which is driven by component- specific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for ...