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310 Sammlungen allgemeiner Statistiken (240)
330 Wirtschaft (240)
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310 Sammlungen allgemeiner Statistiken (240)
330 Wirtschaft (240)
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2013-03-08Buch
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? 
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents ...
2013-04-25Buch
Estimating the Quadratic Covariation Matrix from Noisy Observations 
Local Method of Moments and Efficiency
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; Reiss, Markus
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. ...
2013-05-02Buch
Decomposing Risk in Dynamic Stochastic General Equilibrium 
Lan, Hong; Meyer-Gohde, Alexander
We analyze the theoretical moments of a nonlinear approximation to a model of business cycles and asset pricing with stochastic volatility and recursive preferences. We find that heteroskedastic volatility operationalizes ...
2013-05-02Buch
Econometrics of co-jumps in high-frequency data with noise 
Bibinger, Markus; Winkelmann, Lars
We establish estimation methods to determine co-jumps in multivariate high-frequency data with nonsynchronous observations and market microstructure noise. The ex-post quadratic covariation of the signal part, which is ...
2013-04-25Buch
Disaster Risk in a New Keynesian Model 
Brede, Maren
This paper develops a simple New Keynesian model incorporating a small time-varying probability that the economy is struck by a disaster in the future. The model's main prediction is that a small increase in the disaster ...
2013-04-16Buch
Quantitative forward guidance and the predictability of monetary policy 
A wavelet based jump detection approach
Winkelmann, Lars
The publication of a projected path of future policy decisions by central banks is a controversially debated method to improve monetary policy guidance. This paper suggests a new approach to evaluate the impact of the ...
2013-04-25Buch
The European Debt Crisis 
How did we get into this mess? How can we get out of it?
Burda, Michael C.
By any measure, the European Monetary Union and the European Union are in a deep hole. In the summer of 2011 we came uncomfortably close to an uncontrolled sovereign default of an EU country, a member of the European ...
2013-04-25Buch
Fair re-valuation of wine as an investment 
Bocart, Fabian Y.R.P.; Hafner, Christian M.
The prices of wine is a key topic for market participants interested in valuing their stock, including dealers, restaurants or consumers who may be interested in optimizing their purchases. As a closely related issue, ...
2015-10-26Diskussionspapier
Change point and trend analyses of annual expectile curves of tropical storms 
Burdejova, Petra; Härdle, Wolfgang Karl; Kokoszka, Piotr; Xiong, Qian
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 ...
2015-10-26Diskussionspapier
Geoengineering and the Accusation of Hubris 
Meyer, Kirsten; Uhle, Christian
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 ...
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