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Duality Theory for Optimal Investments under Model Uncertainty
Robust utility functionals arise as numerical representations of investor preferences, when the investor is uncertain about the underlying probabilistic model and averse against both risk and model uncertainty. In this ...
World War II, Missing Men, and Out-of-wedlock Childbearing
Based on county-level census data for the German state of Bavaria in 1939 and 1946, we use World War II as a natural experiment to study the effects of sex ratio changes on out-of-wedlock fertility. Our findings show that ...
A Market Basket Analysis Conducted with a Multivariate Logit Model
The following research is guided by the hypothesis that products chosen on a shopping trip in a supermarket can indicate the preference interdependencies between different products or brands. The bundle chosen on the trip ...
Capturing Common Components in High-Frequency Financial Time Series
A Multivariate Stochastic Multiplicative Error Model
We introduce a multivariate multiplicative error model which is driven by component- specific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for ...