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20060316BuchNonTime Additive Utility Optimization the Case of CertaintyWe study the intertemporal utility maximization problem for HindyHuangKreps utilities. Necessary and sufficient conditions for optimality are given. An explicit solution is provided for a large class of utility functions. ...

19980821BuchNonUniformity of JobMatching in a Transition Economy A Nonparametric Analysis for the Czech RepublicWe consider problems in modelling jobmatching in the Czech Republic during the transition to a market economy. Special interest is devoted to functional form considerations and the analysis of returns to scale of the ...

20051104BuchNonlinear differentialalgebraic equations with properly formulated leading term Nonlinear differentialalgebraic equations with properly stated leading term of index one and two are characterized. Linearization and the solvability of perturbed problems are considered.

19990801BuchNonlinear Error Correction and the Efficient Market Hypothesis The Case of German DualClass Shares

20051007BuchNonlinear GARCH Models for Highly Persistent Volatility

20060101BuchNonlinear Iterative OperatorSplitting Methods and Applications for Nonlinear Parabolic Partial Differential Equations In this paper we concentrate on nonlinear iterative operator splitting methods for nonlinear differential equations. The motivation arose from decoupling nonlinear operator equations in simpler operator equations. The ...

20080926BuchNonlinear Modeling of Target Leverage with Latent Determinant Variables New Evidence on the Tradeoff TheoryThe tradeoff theory on capital structure is tested by modelling the capital structure target as the solution to a maximization problem. This solution maps asset volatility and loss given default to optimal leverage. By ...

20120215BuchNonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes For a Lévy process X having finite variation on compact sets and finite first moments, µ( dx) = xv( dx) is a finite signed measure which completely describes the jump dynamics. We construct kernel estimators for linear ...

20051017BuchNonparametric and Semiparametric Estimation of Additive Models with both Discrete and Continuous Variables under Dependence This paper is concerned with the estimation and inference of nonparametric and semiparametric additive models in the presence of discrete variables and dependent observations. Among the different estimation procedures, ...

19981204BuchNonparametric Autoregression with Multiplicative Volatility and Additive Mean For over a decade, nonparametric modelling has been successfully applied to study nonlinear structures in financial time series. It is well known that the usual nonparametric models often have less than satisfactory ...

20150112BuchNonparametric changepointanalysis of volatility This work develops changepoint methods for statistics of highfrequency data. The main interest is the volatility of an Itˆo semimartingale, which is discretely observed over a fixed time horizon. We construct a ...

20140131BuchNonparametric Estimates for Conditional Quantiles of Time Series We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated ...

19980216BuchNonparametric Estimation and Testing of Interaction in Additive Models We consider an additive model with second order interaction terms. It is shown how the components of this model can be estimated using marginal integration, and the asymptotic distribution of the estimators is derived. ...

20000306BuchNonparametric Estimation in a Nonlinear Cointegration Type Model

20151112BuchNonparametric Estimation in case of Endogenous Selection This paper addresses the problem of estimation of a nonparametric regression function from selectively observed data when selection is endogenous. Our approach relies on independence between covariates and selection ...

19980317BuchNonparametric Estimation in Null Recurrent Time Series We develop a nonparametric estimation theory in a nonstationary environment, more precisely in the framework of null recurrent Markov chains. An essential tool is the split chain, which makes it possible to decompose the ...

20000601BuchNonparametric Estimation of Additive Models withHomogeneous Components The importance of homogeneity as a restriction on functional forms has been well recognized in economic theory. Imposing additive separability is also quite popular since many economics models become easier to interpret ...

20051012BuchNonparametric Estimation of an Additive Model with a Link Function This paper describes an estimator of the additive components of a nonparametric additive model with a known link function. When the additive components are twice continuously differentiable, the estimator is asymptotically ...

20001001BuchNonparametric Estimation of Generalized Impulse Response Function

20050930BuchNonparametric estimation of homogeneous function