Auflistung Schriftenreihen und Sammelbände nach Titel
Anzeige der Publikationen 3315-3334 von 5414
-
1998-08-21BuchNon-Uniformity of Job-Matching in a Transition Economy We consider problems in modelling job-matching 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 ...
-
2005-11-04BuchNonlinear differential-algebraic equations with properly formulated leading term Nonlinear differential-algebraic equations with properly stated leading term of index one and two are characterized. Linearization and the solvability of perturbed problems are considered.
-
1999-08-01BuchNonlinear Error Correction and the Efficient Market Hypothesis
-
2005-10-07BuchNonlinear GARCH Models for Highly Persistent Volatility
-
2006-01-01BuchNonlinear Iterative Operator-Splitting 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 ...
-
2008-09-26DiskussionspapierNonlinear Modeling of Target Leverage with Latent Determinant Variables The trade-off 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 ...
-
2012-02-15DiskussionspapierNonparametric 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 ...
-
2005-10-17BuchNonparametric 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, ...
-
1998-12-04BuchNonparametric 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 ...
-
2015-01-12DiskussionspapierNonparametric change-pointanalysis of volatility This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itˆo semi-martingale, which is discretely observed over a fixed time horizon. We construct a ...
-
2014-01-31DiskussionspapierNonparametric 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 ...
-
1998-02-16BuchNonparametric 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. ...
-
2000-03-06BuchNonparametric Estimation in a Nonlinear Cointegration Type Model
-
2015-11-12DiskussionspapierNonparametric 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 ...
-
1998-03-17BuchNonparametric Estimation in Null Recurrent Time Series We develop a nonparametric estimation theory in a non-stationary 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 ...
-
2000-06-01BuchNonparametric 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 ...
-
2005-10-12BuchNonparametric 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 ...
-
2000-10-01BuchNonparametric Estimation of Generalized Impulse Response Function
-
2005-09-30BuchNonparametric estimation of homogeneous function
-
2010-04-01DiskussionspapierNonparametric Estimation of Risk-Neutral Densities This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the ...