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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...