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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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2014-05-16Buch
Confidence Corridorsfor MultivariateGeneralizedQuantile Regression 
Chao, Shih-Kang; Proksch, Katharina; Dette, Holger; Härdle, Wolfgang Karl
We focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable ...
2014-05-09Buch
Credit Risk Calibrationbased on CDS Spreads 
Chao, Shih-Kang; Härdle, Wolfgang Karl; Pham-Thu, Hien
As observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by ...
2014-03-10Buch
Nonparametric Test fora Constant Beta over aFixed Time Interval 
Reiß, Markus; Todorov, Viktor; Tauchen, George
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the ...
2014-05-20Buch
Information Risk, MarketStress and InstitutionalHerding in FinancialMarkets 
New EvidenceThrough the Lens of aSimulated Model
Boortz, Christopher; Kremer, Stephanie; Jurkatis, Simon; Nautz, Dieter
This paper employs numerical simulations of the Park and Sabourian (2011) herd model to derive new theory-based predictions for how information risk and market stress influence aggregate herding intensity. We test these ...
2014-03-10Buch
Do Maternal HealthProblems InfluenceChild's WorryingStatus? 
Evidence from BritishCohort Study
Dai, Xianhua; Härdle, Wolfgang Karl; Yu, Keming
The influence of maternal health problems on child's worrying status is important in practice in terms of the intervention of maternal health problems early for the influence on child's worrying status. Conventional methods ...
2014-05-13Buch
Stale ForwardGuidance 
Detmers, Gunda-Alexandra; Nautz, Dieter
An increasing number of central banks manage market expectations via interest rate projections. Typically, those projections are updated only quarterly and thus, may become stale when new information enters the market. We ...
2014-03-18Buch
Inflation ExpectationsSpillovers between theUnited States and EuroArea 
Netšunajev, Aleksei; Winkelmann, Lars
We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break-even inflation (BEI) rates. In contrast to previous studies, we model US and EA BEI rates jointly in a ...
2014-04-15Buch
Is there a demand formulti-year cropinsurance? 
Osipenko, Maria; Shen, Zhiwei; Odening, Martin
In this paper we adapt a dynamic discrete choice model to examine the aggregated demand for single- and multi-year crop insurance contracts. We show that in a competitive insurance market with heterogeneous risk averse ...
2014-11-17Buch
Bootstrap confidence setsunder modelmisspecification 
Spokoiny, Vladimir; Zhilova, Mayya
A multiplier bootstrap procedure for construction of likelihood-based congidence sets is considered for ginite samples and a possible model misspecification. Theoretical results justify the bootstrap consistency for a small ...
2015-01-12Buch
Nonparametric change-pointanalysis of volatility 
Bibinger, Markus; Jirak, Moritz; Vetter, Mathias
This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itˆo semi-martingale, which is discretely observed over a fixed time horizon. We construct a ...
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