Auflistung Wirtschaftswissenschaftliche Fakultät nach Titel
Anzeige der Publikationen 1187-1206 von 1448
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2006-04-21DiskussionspapierTail Conditional Expectation for vector-valued Risks In his paper we introduce a quantile-based risk measure for multivariate financial positions: the vector-valued Tail-conditional-expectation (TCE). We adopt the framework proposed by Jouini, Meddeb, and Touzi [9] to deal ...
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2015-09-11DiskussionspapierTail Event Driven ASset allocation Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., ...
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2017-01-31DiskussionspapierTail event driven networks of SIFIs The interdependence, dynamics and riskiness of financial institutions are the key features frequently tackled in financial econometrics. We propose a Tail Event driven Network Quantile Regression (TENQR) model which addresses ...
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1998-02-14BuchTax Clientele Effects in the German Bond Market This paper presents an analysis of tax clientele eects in the German government bond market from the viewpoint of private investors. The methods developed here allow the identification of bonds that are over-valued from ...
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2005-09-21BuchTax Evasion and Risky Investments in an Intertemporal Context In this experimental study of tax evasion and its determinants participants earn their income in a complex stochastic intertemporal environment including the possibility to invest into a risky asset. The earned income has ...
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2000-01-20BuchTax Liability Side Equivalence in ExperimentalPosted-Offer Markets In theory, the incidence of a tax should be independent of which side of the market it is levied on. This principle of liability side equivalence underlies virtually all theories of tax incidence. Policy discussions, ...
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2003-09-23BuchTaylor Rules and Macroeconomic Instability This paper derives new results on the effects of employing Taylor rules in economies that are subject to real market imperfections such as production externalities. Taylor rules that aggressively respond to output can ...
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1998-01-14BuchTeaching Statistics with XploRe
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2006-03-17BuchTeaching Wavelets in XploRe Teachware is a set of computer software tools for computeraided interactive teaching of certain knowledge elements. The construction of teachware for statistical knowledge is a rather young field since it heavily depends ...
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2006-04-20DiskussionspapierTechnological Choice under Organizational Diseconomies of Scale With adverse selection, diseconomies of scale associated with hierarchies may induce the implementation of a second-best technology. This occurs whenever rents to lower tiers of the hierarchy increase faster than total ...
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2008-09-11DiskussionspapierTechnology sourcing by large incumbents through acquisition of small firms Innovation activities in high technology industries provide considerable challenges for technology and innovation management. In particular, since these industries have a long history of radical innovations taking place ...
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2014-06-13DiskussionspapierTEDAS - Tail EventDriven ASsetAllocation Portfolio selection and risk management are very actively studied topics in quantitative finance and applied statistics. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation ...
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2007-12-20DiskussionspapierTelling the Truth May Not Pay Off We investigate the matching algorithm used by the German central clearinghouse for university admissions (ZVS) in medicine and related subjects. This mechanism consists of three procedures based on final grades from school ...
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1998-03-10BuchTemporal Aggregation and Causality in Multiple Time Series Models In this paper we characterize what has sometimes been referred to in the literature as instantaneous causality, by examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our ...
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2014-11-03DiskussionspapierTENET: Tail-Event drivenNETwork risk We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable ...
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2015-09-15DiskussionspapierTERES A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions ...
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2001-06-20BuchTest Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time
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2008-12-29DiskussionspapierTesting directional forecast value in the presence of serial correlation Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These ...
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1999-09-13BuchTesting for a Unit Root in a Time Series with a Level Shift at Unknown Time
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2015-06-10DiskussionspapierTesting for Identificationin SVAR-GARCH Models Abstract Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case ...