Auflistung Wirtschaftswissenschaftliche Fakultät nach Titel
Anzeige der Publikationen 1388-1407 von 1448
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2008-01-07DiskussionspapierValue-at-Risk and Expected Shortfall when there is long range dependence Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range ...
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2005-02-10DiskussionspapierValue-at-Risk Calculations with Time Varying Copulae Value-at-Risk (VaR) of a portfolio is determined by the multivariate distribution of the risk factors increments. This distribution can be modelled through copulae, where the copulae parameters are not necessarily constant ...
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2006-02-03DiskussionspapierVAR Modeling for Dynamic Semiparametric Factors of Volatility Strings The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that ...
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2012-10-12DiskussionspapierVariable selection in Cox regression models with varying coefficients We deal with two kinds of Cox regression models with varying coefficients. The coefficients vary with time in one model. In the other model, there is an important random variable called an index variable and the coefficients ...
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2005-09-14BuchVariance Estimation for High-Dimensional Regression Models
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2006-04-25DiskussionspapierVarying coefficient GARCH versus local constant volatility modeling GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is ...
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1999-01-12BuchVector Autoregressions
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1999-03-19BuchVector Autoregressive Analysis An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models, estimating their parameters and specifying the autoregressive order, the cointegrating rank and other ...
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2007-05-25DiskussionspapierVisualization of Competitive Market Structure by Means of Choice Data This paper presents a method for visualizing competitive market structures based on scanner panel data where asymmetries are taken into account. For this, I combined consumer choice models based on mixed logit models with ...
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2008-01-24DiskussionspapierVisualizing exploratory factor analysis models Exploratory factor analysis (EFA) is an important tool in data analyses, particularly in social science. Usually four steps are carried out which contain a large number of options. One important option is the number of ...
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2007-01-30DiskussionspapierVolatility and Causality in Asia Pacific Financial Markets The present paper analyses interactions between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried ...
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2006-03-16BuchVolatility Estimates of the Short Term Interest Rate with an Application to German Data This paper proposes a procedure for testing alternative specifications of the short term interest rate’s dynamics which takes into account that according to some restrictions the interest rate is nonstationary, i.e. the ...
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2010-01-07DiskussionspapierVolatility Investing with Variance Swaps Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors began to look at volatility from a different angle. It happened due to emergence of a market for ...
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2013-09-11DiskussionspapierVolatility linkages between energy and agricultural commodity prices In this paper we investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify ...
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2014-09-19DiskussionspapierVolatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models We analyse the short-term spot price of European Union Allowances (EUAs), which is of particular importance in the transition of energy markets and for the development of new risk management strategies. Due to the ...
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2012-05-30DiskussionspapierVolatility of price indices for heterogeneous goods Price indices for heterogenous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investments in times of financial markets turmoil. Classical ...
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2003-01-23BuchWann sind falsche VaR-Modelle dennoch adäquat? Die Berechnung des VaR führt zur Reduktion der Dimension des Raumes der Risikofaktoren. Die vorzunehmenden Vereinfachungen resultieren aus unterschiedlichen Beweggründen, z.B. technische Effizienz, Sachlogik der Ergebnisse ...
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2000-02-17BuchWas There a Regime Change in the German Monetary Transmission Mechanism in 1983?
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2001-09-26BuchWeak approximation of stochastic differential delay equations
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2001-03-08BuchWeak Discrete Time Approximation of Stochastic Differential Equations with Time Delay