Auflistung Wirtschaftswissenschaftliche Fakultät nach Titel
Anzeige der Publikationen 155-174 von 1448
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1999-12-06BuchBacktesting Beyond VaR
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2005-08-01DiskussionspapierBank finance versus bond finance We present a dynamic general equilibrium model with agency costs, where heterogeneous firms choose among two alternative instruments of external finance - corporate bonds and bank loans. We characterize the financing choice ...
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2013-05-21DiskussionspapierBank Lending Relationships and the Use of Performance-Sensitive Debt We show that performance-sensitive debt (PSD) is used to reduce hold-up problems in repeated lending relationships. Using a large sample of bank loans, we find a more frequent use of PSD if hold-up is more likely, e.g. if ...
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1998-03-01BuchBanks’ Supply of Loans The most important policy instruments of the Bundesbank and of the coming European Central Bank involve lending to domestic credit institutions. In this monetary setup, banks use short-term central bank credits extensively ...
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2011-07-28DiskussionspapierBargaining and Collusion in a Regulatory Model Within a standard three-tier regulatory model, a benevolent prin- cipal delegates to a regulatory agency two tasks: the supervision of the …rm’s (two-type) costs and the arrangement of a pricing mecha- nism. The agency may ...
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2011-10-19DiskussionspapierBargaining, Openness, and the Labor Share This paper investigates determinants of changes of the labor share in developed countries with a focus on Western Europe. Using a country-industry panel that covers the private sector, the paper focuses on long and short-run ...
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2006-03-30DiskussionspapierBarrier Option Hedging under Constraints We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constraint to lie in a closed ...
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2005-10-10BuchBayes Estimates in Multivariate SemiparametricLinear Models Bayes estimates are derived in multivariate linear models with unknown distribution. The prior distribution is defined using a Dirichlet prior for the unknown error distribution and a ormal-Wishart distribution for the ...
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2008-07-31DiskussionspapierBayesian Demographic Modeling and Forecasting We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U.S., building on the Lee-Carter approach and extending it in several dimensions. We incorporate covariates ...
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2010-01-20DiskussionspapierBayesian Estimation and Model Selection in theGeneralised Stochastic Unit Root Model We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, ...
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2000-12-15BuchBayesian Estimation of NIG-parameters by Markov Chain Monte Carlo Methods
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2010-01-13DiskussionspapierBayesian Inference in a Stochastic Volatility Nelson-Siegel Model In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for ...
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2011-07-25DiskussionspapierBayesian Networks and Sex-related Homicides We present a statistical investigation on the domain of sex-related homicides. As general sociological and psychological theory on this specific type of crime is incomplete or even lacking, a data-driven approach is ...
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2006-06-02BuchBenchmarking Spatial Joins À La Carte Spatial joins are join operations that involve spatial data types and operators. Spatial access methods are often used to speed up the computation of spatial joins. This paper addresses the issue of benchmarking spatial ...
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1997-04-01BuchBerechnung des REXP für alternative Steuersätze
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2016-11-23DiskussionspapierBeta-boosted ensemble for big credit scoring data In this work we present a novel ensemble model for a credit scoring problem. The main idea of the approach is to incorporate separate beta binomial distributions for each of the classes to generate balanced datasets that ...
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2005-09-09BuchBeyond "Manucentrism" This paper gives a comprehensive picture of job and worker flows for the entire Danish economy. We exploit a unique central administrative register encompassing all employees of all workplaces across all sectors throughout ...
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2014-09-03DiskussionspapierBeyond dimension two In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high{dimensional and bivariate simplifications would produce ...
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2008-04-18DiskussionspapierBeyond the business cycle This article provides a comprehensive econometric analysis of factors driving aggregate mortality rates over time. It differs from previous studies in this field by simultaneously considering an extensive set of macroeconomic, ...
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2006-12-21DiskussionspapierBiases in Estimates of the Smoking Wage Penalty Empirical studies on the earnings effects of tobacco use have found significant wage penalties attached to smoking. We produce evidence that suggests that these estimates are significantly upward biased. The bias arises ...