Now showing items 1-10 of 243
Statistical inference for discrete-time samples from affine stochastic delay differential equations
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. ...
Change point and trend analyses of annual expectile curves of tropical storms
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 ...
Coordination after gains and losses
Is prospect theory’s value function predictive for games?
Wir präsentieren eine Verhaltensvariante der Spieltheorie, die auf der Wertfunktion der Prospekttheorie, dem Aggregationsprinzip und auf sozialer Projektion beruht. Gleichgewichtsvorhersagen basieren auf einer Anwendung ...
The Role of Shadow Banking in the Monetary Transmission Mechanism and the Business Cycle
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 ...
Site assessment, turbine selection, and local feed-in tariffs through the wind energy index
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 ...
Tail Event Driven ASset allocation
evidence from equity and mutual funds’ markets
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., ...