Statistical inference for discrete time observations of an affine stochastic delay differential equation is considered. The main focus is on maximum pseudo-likelihood estimators, which are easy to calculate in practice. ...

Motivated by the conjectured existence of trends in the intensity of tropical storms, this paper proposes new inferential methodology to detect a trend in the annual pattern of environmental data. The new methodology can ...

Geoengineering aims at a large-scale manipulation of the planetary environment in order to counteract climate change. Different ethical worries concerning geoengineering have been formulated. Amongst these a core wrong ...

Wir präsentieren eine Verhaltensvariante der Spieltheorie, die auf der Wertfunktion der Prospekttheorie, dem Aggregationsprinzip und auf sozialer Projektion beruht. Gleichgewichtsvorhersagen basieren auf einer Anwendung ...

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion ...

We show that house prices from Aberdeen in the UK improve in- and out-of-sample oil price forecasts. The improvements are of a similar magnitude to those attained using macroeconomic indicators. We explain these forecast ...

A standard quantitative method to access credit risk employs a factor model based on joint multi- variate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default ...

This paper investigates the heterogeneous impact of monetary policy shocks on financial in- termediaries. I distinguish between banks and shadow banks based on their funding constraints. Because credit creation by banks ...

Since wind energy is rapidly growing, new wind farms are installed worldwide and a discussion is going on concerning the optimal political framework to promote this development. In this paper, we present a wind energy ...

Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., ...