Browsing Wirtschaftswissenschaftliche Fakultät by Title
Now showing items 192-211 of 1448
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2016-03-21BuchCalculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and ...
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2007-06-22BuchCalibrating CAT Bonds for Mexican Earthquakes The study of natural catastrophe models plays an important role in the prevention and mitigation of disasters. After the occurrence of a natural disaster, the reconstruction can be financed with catastrophe bonds (CAT ...
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2006-01-09BuchCalibration Design of Implied Volatility Surfaces The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices. We ...
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2011-11-03BuchCalibration of self-decomposable Lévy models We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network ...
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2006-01-06BuchCalibration Risk for Exotic Options Option pricing models are calibrated to market data of plain vanillas by minimization of an error functional. From the economic viewpoint, there are several possibilities to measure the error between the market and the ...
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2016-08-29BuchCan a Bonus Overcome Moral Hazard? An Experiment on Voluntary Payments, Competition, and Reputation in Markets for Expert ServicesInteractions between players with private information and opposed interests are often prone to bad advice and inefficient outcomes, e.g. markets for financial or health care services. In a deception game we investigate ...
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2011-03-18BuchCan crop yield risk be globally diversified? In 2007 and 2008 world food markets observed a significant price boom. Crop failures simultaneously occurring in some of the world’s major production regions have been quoted as one factor among others for the price boom. ...
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2008-06-17BuchCan Education Save Europe From High Unemployment? Empirical observations show that education helps to protect against labor market risks. This is twofold: The higher educated face a higher expected wage income and a lower probability of being unemployed. Although this ...
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2013-05-31BuchCan expert knowledge compensate for data scarcity in crop insurance pricing? Although there is an increasing interest in index-based insurances in many developing countries, crop data scarcity hinders its implementation by forcing insurers to charge higher premiums. Expert knowledge has been ...
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2012-12-10BuchCan the market forecast the weather better than meteorologists? Many companies depend on weather conditions, so they require reliable weather forecasts for production planning or risk hedging. In this article, we propose a new way of gaining weather forecasts by exploiting the ...
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2010-06-03BuchCan the New Keynesian Phillips Curve Explain Inflation Gap Persistence? Whelan (2007) found that the generalized Calvo-sticky-price model fails to replicate a typical feature of the empirical reduced-form Phillips curve - the positive dependence of inflation on its own lags. In this paper, I ...
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1998-12-01BuchCanonical Correlation Statistics for Testing the Cointegration Rank in a Reversed Order In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r < r0. Such a test flips the null and alternative hypotheses of Johansen’s LR test and can be used jointly ...
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2006-03-09BuchCanonical decomposition of linear transformations of two independent Brownian motions Motivated by the Kyle-Back model of “insider trading”, we consider certain classes of linear transformations of two independent Brownian motions and study their canonical decomposition as semimartingales in their own ...
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2001-02-01BuchCapacity Choices and Price Competition in Experimental Markets In the heterogeneous experimental oligopoly markets of this paper, sellers first choose capacities and then prices. In equilibrium, capacities should correspond to the Cournot prediction. In the experimental data, given ...
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2007-09-05BuchCapturing Common Components in High-Frequency Financial Time Series A Multivariate Stochastic Multiplicative Error ModelWe introduce a multivariate multiplicative error model which is driven by component- specific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for ...
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2010-11-18BuchCapturing the Zero A New Class of Zero-Augmented Distributions and Multiplicative Error ProcessesWe propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, ...
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2012-10-12BuchCartelization Through Buyer Groups Retailers may enjoy stable cartel rents in their output market through the formation of a buyer group in their input market. A buyer group allows retailers to credibly commit to increased input prices, which serve to reduce ...
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2009-07-30BuchCDO and HAC Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions ...
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2009-03-06BuchCDO Pricing with Copulae Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and ...
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2013-07-09BuchCDO Surfaces Dynamics Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has shown that the standard market models fail to measure and forecast financial risks and their characteristics. ...
