Auflistung Wirtschaftswissenschaftliche Fakultät nach Titel
Anzeige der Publikationen 1001-1020 von 1448
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2016-11-15DiskussionspapierQ3-D3-LSA QuantNet 1 is an integrated web-based environment consisting of different types of statistics-related documents and program codes. Its goal is creating reproducibility and offering a platform for sharing validated knowledge ...
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2009-10-09DiskussionspapierQuantifizierbarkeit von Risiken auf Finanzmärkten Die Krise der internationalen Finanzmärkte hat die allgemeine Wahrnehmung für die in diesen Märkten inhärenten Risiken merklich verändert. Glaubten manche Anleger in den Boomphasen der Finanzmärkte, dass sich eine hohe ...
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2009-12-09DiskussionspapierQuantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements We examine intra-day market reactions to news in stock-specific sentiment disclosures. Using pre-processed data from an automated news analytics tool based on linguistic pattern recognition we extract information on the ...
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2000-04-07BuchQuantifying the Value of Initial Investment Information
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2006-01-20BuchQuantile Hedging In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial ...
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1999-10-13BuchQuantile regression
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2006-06-09BuchQuantile Regression Estimates for a Class of Linear and Partially Linear Errors-in-Variables Models We consider the problem of estimating quantile regression coefficients in errors-in-variables models. When the error variables for both the response and the manifest variables have a joint distribution that is spherically ...
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2012-01-25DiskussionspapierQuantile Regression in Risk Calibration Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain ...
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2007-02-05DiskussionspapierQuantile Sieve Estimates For Time Series We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t − 1. We discuss sieve estimates which are a ...
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2001-07-27BuchQuantile-VaR is the Wrong Measure to Quantify Market Risk for Regulatory Purposes
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2013-04-16DiskussionspapierQuantitative forward guidance and the predictability of monetary policy The publication of a projected path of future policy decisions by central banks is a controversially debated method to improve monetary policy guidance. This paper suggests a new approach to evaluate the impact of the ...
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2007-07-13DiskussionspapierQuantNet In this study a framework for an online database-driven repository of information – QuantNet – is presented. QuantNet is aimed at easing the process of web publishing for those who are unfamiliar with technical details and ...
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2005-10-12BuchR robustified additive nonparametric regression
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2017-08-11DiskussionspapierRacial/Ethnic Differences In Non-Work At Wor
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2001-08-22BuchRandom times at which insiders can have free lunches
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2006-03-10BuchRank tests for nonlinear cointegration A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that there exist monotonic transformations such that the normalised series can asymptotically ...
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2007-02-21BuchRank Tests for Unit Roots In order to obtain exact distributional results without imposing restrictive parametric assumptions, several rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score ...
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2009-11-09DiskussionspapierReal and Nominal Rigidities in Price Setting This paper uses the Bayesian approach to solve and estimate a New Keynesian model augmented by a generalized Phillips curve, in which the shape of the price reset hazards can be identi…ed using aggregate data. My empirical ...
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2006-10-12DiskussionspapierReal Balance Effects, Timing and Equilibrium Determination This paper examines whether the existence and the timing of real balance effects contribute to the determination of the absolute price level, as suggested byPatinkin (1949,1965), and if they affect conditions for local ...
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2005-10-10BuchReal Estate Valuation According to Standardized Methods Appraisals are needed for decision-making and for performance evaluation. Knowledge on the accuracy of valuation methods is of general interest for banks and investors. We assess the accuracy of the German Regulation on ...