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Wirtschaftswissenschaftliche Fakultät (47)
DDC330 Wirtschaft (47)
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2017-05-29Diskussionspapier
The impact of news on US household inflation expectations 
Chao, Shih-Kang; Härdle, Wolfgang Karl; Sheen, Jeffrey; Trück, Stefan; Wang, Ben Zhe
Analysis of monthly disaggregated data from 1978 to 2016 on US household in ation expectations reveals that exposure to news on in ation and monetary policy helps to explain in ation expectations. This remains true when ...
2016-10-19Diskussionspapier
Forward Guidance under Disagreement 
Detmers, Gunda-Alexandra
This paper compares the effectiveness of date- and state-based forward guidance issued by the Federal Reserve since mid-2011 accounting for the influence of disagreement within the FOMC. Effectiveness is investigated through ...
2016-12-29Diskussionspapier
Multivariate Factorisable Sparse Asymmetric Least Squares Regression 
Chao, Shih-Kang; Härdle, Wolfgang Karl; Huang, Chen
More and more data are observed in form of curves. Numerous applications in finance, neuroeconomics, demographics and also weather and climate analysis make it necessary to extract common patterns and prompt joint modelling ...
2017-01-31Diskussionspapier
Tail event driven networks of SIFIs 
Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Okhrin, Yarema
The interdependence, dynamics and riskiness of financial institutions are the key features frequently tackled in financial econometrics. We propose a Tail Event driven Network Quantile Regression (TENQR) model which addresses ...
2017-08-11Diskussionspapier
Racial/Ethnic Differences In Non-Work At Wor 
Hamermesh, Daniel S.; Genadek, Katie R.; Burda, Michael C.
2016-12-29Diskussionspapier
Factorisable Multi-Task Quantile Regression 
Chao, Shih-Kang; Härdle, Wolfgang Karl; Yuan, Ming
For many applications, analyzing multiple response variables jointly is desirable because of their dependency, and valuable information about the distribution can be retrieved by estimating quantiles. In this paper, we ...
2017-07-17Diskussionspapier
(Un)expected Monetary Policy Shocks and Term Premia 
Kliem, Martin; Meyer-Gohde, Alexander
We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term ...
2017-09-12Diskussionspapier
Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change 
Li, Xinjue; Zbonakova, Lenka; Härdle, Wolfgang Karl
In the present paper we propose a new method, the Penalized Adaptive Method (PAM), for a data driven detection of structure changes in sparse linear models. The method is able to allocate the longest homogeneous intervals ...
2017-08-28Diskussionspapier
Das deutsche Arbeitsmarktwunder: Eine Bilanz 
Burda, Michael C.; Seele, Stefanie
Dem deutschen Arbeitsmarkt ging es noch nie seit der Wiedervereinigung so gut wie heute. Die nachhaltige Entwicklung seit 2005 ist auf zwei entscheidende Treiber zurückzuführen: die Umverteilung eines beinahe gleichbleibenden ...
2017-03-06Diskussionspapier
GitHub API based QuantNet Mining infrastructure in R 
Borke, Lukas; Härdle, Wolfgang Karl
QuantNet being an online GitHub based organization is an integrated environment consisting of different types of statistics-related documents and program codes called Quantlets. The QuantNet Style Guide and the yamldebugger ...
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