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310 Sammlungen allgemeiner Statistiken (243)
330 Wirtschaft (240)510 Mathematik (1)630 Landwirtschaft und verwandte Bereiche (1)
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310 Sammlungen allgemeiner Statistiken (243)
330 Wirtschaft (240)510 Mathematik (1)630 Landwirtschaft und verwandte Bereiche (1)
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2012-05-22Buch
Hierarchical Archimedean Copulae 
The HAC Package
Okhrin, Ostap; Ristig, Alexander
This paper aims at explanation of the R-package HAC, which provides user friendly methods for dealing with high-dimensional hierarchical Archimedean copulae (HAC). A computationally eficient estimation procedure allows to ...
2012-05-30Buch
Location, location, location 
Extracting location value from house prices
Kolbe, Jens; Schulz, Rainer; Wersing, Martin; Werwatz, Axel
The price for a single-family house depends both on the characteristics of the building and on its location. We propose a novel semiparametric method to extract location values from house prices. After splitting house ...
2012-05-22Buch
Do Japanese Stock Prices Reflect Macro Fundamentals? 
Chen, Wenjuan; Velinov, Anton
This paper investigates to what extent the fundamentals of the real economy are re ected in the stock prices of Japan. A Markov switching VAR model with switching variances is used to test the structural identification ...
2012-06-26Buch
Generated Covariates in Nonparametric Estimation 
A Short Review
Mammen, Enno; Rothe, Christoph; Schienle, Melanie
In many applications, covariates are not observed but have to be estimated from data. We outline some regression-type models where such a situation occurs and discuss estimation of the regression function in this context.We ...
2012-10-29Buch
Measuring the impact of critical incidents on brand personality 
Tischer, Sven
To evaluate how occurring critical incidents change customer perceptions of brand personality, this study measures the impact on the basis of an online experiment. For this purpose, 1,132 usable responses are gathered ...
2012-10-30Buch
Covered bonds, core markets, and financial stability 
Anand, Kartik; Chapman, James; Gai, Prasanna
We examine the financial stability implications of covered bonds. Banks issue covered bonds by encumbering assets on their balance sheet and placing them within a dynamic ring fence. As more assets are encumbered, jittery ...
2012-11-14Buch
Implied Basket Correlation Dynamics 
Härdle, Wolfgang Karl; Silyakova, Elena
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between assets and thus measures the degree of portfolio diversification. It can be estimated both under the physical ...
2013-01-08Buch
Empirical Research on Corporate Credit-Ratings 
A Literature Review
Matthies, Alexander B.
We report on the current state and important older findings of empirical studies on corporate credit ratings and their relationship to ratings of other entities. Specifically, we consider the results of three lines of ...
2012-10-25Buch
Common factors in credit defaults swaps markets 
Chen, Yi-Hsuan; Härdle, Wolfgang Karl
We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default ...
2013-01-04Buch
Statistical properties and stability of ratings in a subset of US firms 
Matthies, Alexander B.
Standard explanatory variables that determine credit ratings do not achieve significant effects in a sample of 100 US non-financial firms in an ordered probit panel estimation. Sample size and selection as well as the ...
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