Auflistung Wirtschaftswissenschaftliche Fakultät nach Titel
Anzeige der Publikationen 573-592 von 1448
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1999-10-14BuchHazard Regression
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2005-09-29BuchHazard Regression
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2002-06-07BuchHedging and Portfolio Optimization in Illiquid Financial Markets We introduce a general continuous–time model for an illiquid financial market where the trades of a single large investor can move market prices. The model is specified in terms of parameter dependent semimartingales, and ...
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2000-11-01BuchHedging the Standard of Living via Cost of Living Index Futures People dislike inflation because inflation erodes the real value of future nominal income and wealth. Adjustment of future nominal values via a cost of living index is an appropriate way to handle the problem of real income ...
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2013-08-07DiskussionspapierHerding in financial markets Due to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are only loosely connected. This paper attempts to close this gap in the herding literature. From a theoretical ...
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2010-04-27DiskussionspapierHerding of Institutional Traders This paper sheds new light on herding of institutional investors by using a unique and superior database that identifies every transaction of financial institutions. First, the analysis reveals herding behavior of institutions. ...
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2006-01-13BuchHeterogeneous Time Preferences and Interest Rates The influence of heterogeneous time preferences on the term structure is investigated. Motivated by the Preferred Habitat Theory of Modigliani and Sutch, a model for intertemporal preferences accounting for preferred ...
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2005-10-07BuchHeuristics as Decision Rules Many consumption prices are highly volatile. It would certainly overburden our cognitive system to fully adjust to all these changes. Households therefore often rely on simple heuristics when deciding what to consume, e.g. ...
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2012-03-07DiskussionspapierHidden Liquidity We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock’s hidden dimension, both in ...
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2012-05-22DiskussionspapierHierarchical Archimedean Copulae This paper aims at explanation of the R-package HAC, which provides user friendly methods for dealing with high-dimensional hierarchical Archimedean copulae (HAC). A computationally eficient estimation procedure allows to ...
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2010-08-03DiskussionspapierHigh Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model (High dimensional) time series which reveal nonstationary and possibly periodic behavior occur frequently in many fields of science. In this article, we separate the modeling of high dimensional time series to time propagation ...
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1998-11-22BuchHigher Order Forward Rate Agreements and the Smoothness of the Term Structure
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2012-01-04DiskussionspapierHMM in dynamic HAC models Understanding the dynamics of high dimensional non-normal dependency structure is a challenging task. This research aims at attacking this problem by building up a hidden Markov model (HMM) for Hierarchical Archimedean ...
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2010-02-10DiskussionspapierHoney, I’ll Be Working Late Tonight. German time use data for 2001/02 are used to assess the impact of workplace characteristics on the private life of couples. The major aim is to solve the endogeneity resulting from individual preferences for work and leisure ...
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2001-04-17BuchHotelling Games with Three, Four, and More Players
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2008-01-31DiskussionspapierHouse Prices and Replacement Cost According to housing investment models, house prices and replacement cost should have an equilibrating relationship. Previous empirical work mainly based on aggregate-level data has found only little evidence of such a ...
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2002-03-12BuchHow accurate do markets predict the outcome of an event?
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1999-10-01BuchHow competition in investing, hiring, and selling affects (un)employment
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2011-05-03DiskussionspapierHow Computational Statistics Became the Backbone of Modern Data Science This first chapter serves as an introduction and overview for a collection of articles surveying the current state of the science of computational statistics. Earlier versions of most of these articles appeared in the first ...
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2015-04-24DiskussionspapierHow Do Financial Cycles Interact? Are financial cycles an international phenomenon, and, if so, how do financial cycles interact? This letter provides new evidence for the US and the UK. Considering the properties of the data in both the time and the ...