Auflistung Wirtschaftswissenschaftliche Fakultät nach Titel
Anzeige der Publikationen 1-20 von 1448
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2001-07-18BuchA Benchmark Model for Financial Markets
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2009-10-21DiskussionspapierA blocking and regularization approach to high dimensional realized covariance estimation We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we ...
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2000-02-24BuchA Bootstrap Test for Single Index Models
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2008-12-18DiskussionspapierA Brand Specific Investigation of International Cost Shock Threats on Price and Margin with a Manufacturer-Wholesaler-Retailer Model In times of increasing oil prices and a weak dollar, European companies that focus their business on the US market may find themselves in a weak position. While many businesses can hedge this kind of risk by relocating ...
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1997-02-07BuchA class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage ...
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2006-01-24DiskussionspapierA Combined Approach for Segment-Specific Analysis of Market Basket Data There are two main research traditions for analyzing market basket data that exist more or less independently from each other, namely exploratory and explanatory model types. Exploratory approaches are restricted to the ...
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2005-10-12BuchA Comparison of Punishment Rules in Repeated Public Good Games In this experimental study we analyse three collective and one individual punishment rule in a public good setting. We show that under all punishment rules cooperation is stronger and more sustainable than reported from ...
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2011-01-03DiskussionspapierA Confidence Corridor for Expectile Functions Let (X1; Y1), …, (Xn; Yn) be i.i.d. rvs and let v(x) be the unknown τ - expectile regression curve of Y conditional on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency ...
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2011-01-03DiskussionspapierA Confidence Corridor for Sparse Longitudinal Data Curves Longitudinal data analysis is a central piece of statistics. The data are curves and they are observed at random locations. This makes the construction of a simultaneous confidence corridor (SCC) (confidence band) for the ...
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2008-01-07DiskussionspapierA Consistent Nonparametric Test for Causality in Quantile This paper proposes a nonparametric test of causality in quantile. Zheng (1998) has proposed an idea to reduce the problem of testing a quantile restriction to a problem of testing a particular type of mean restriction in ...
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2006-02-02BuchA Consistent Nonparametric Test of the Convexity of Regression Based on Least Squares Splines This paper provides a test of convexity of a regression function. This test is based on the least squares splines. The test statistic is shown to be asymptotically of size equal to the nominal level, while diverging to ...
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2014-01-13DiskussionspapierA consistent two-factor model for pricing temperature derivatives We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological ...
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2006-09-11DiskussionspapierA Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties We propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market ...
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2012-01-05DiskussionspapierA Donsker Theorem for Lévy Measures Given n equidistant realisations of a Lévy process (Lt; t >= 0), a natural estimator for the distribution function N of the Lévy measure is constructed. Under a polynomial decay restriction on the characteristic function, ...
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2005-03-06DiskussionspapierA Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics A primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional ...
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2016-08-30DiskussionspapierA first econometric analysis of the CRIX family The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on different ...
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2005-09-29BuchA Fractionally Integrated Exponential Model for U.K. Unemployment Fractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling the U.K. unemployment. This enables us a better understanding of the ...
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2005-09-29BuchA Fractionally Integrated Model with a Mean Shift for the U.S. and the U.K. Real Oil Prices In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null ...
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2006-03-10BuchA Framework for Micropayment Evaluation Lacking payment systems become a bottleneck for the vision of the Information Economy. In many cases payments of fractions of a cent, so-called micropayments, are of particular interest. In this paper we propose a framework ...
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2007-04-25DiskussionspapierA Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models ...