Auflistung Wirtschaftswissenschaftliche Fakultät nach Titel
Anzeige der Publikationen 1404-1423 von 1448
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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
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2009-06-18DiskussionspapierWeather-based estimation of wildfire risk Catastrophic wildfires in California have become more frequent in past decades, while insured losses per event have been rising substantially. On average, California ranks the highest among states in the U.S. in the number ...
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2005-09-15BuchWeb quantlets for time series analysis
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1999-06-14BuchWeekday Dependence of German Stock Market Returns
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2005-08-03DiskussionspapierWhat are the Effects of Fiscal Policy Shocks? We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Unlike most of the previous literature this approach does not require that the contemporaneous reaction of some ...
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2016-02-18DiskussionspapierWhat Derives theBond Portfolio Value-at-Risk This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained ...
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2005-12-15DiskussionspapierWhat does the Bank of Japan do to East Asia? In recent policy debates some have argued that expansionary monetary policy in Japan can increase real output in Japan and in Japan´s neighbors, while others have warned that it is a beggar-thy-neighbor policy. In this ...
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2011-03-23DiskussionspapierWhat Drives the Relationship Between Inflation and Price Dispersion? Recent monetary search and Calvo-type models predict that the relationship between inflation and price dispersion is U-shaped, implying an optimal rate of inflation above zero. Moreover, monetary search models emphasize a ...
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2011-06-03DiskussionspapierWhat Explains the German Labor Market Miracle in the Great Recession? Germany experienced an even deeper fall in GDP in the Great Recession than the United States with little employment loss. Employers’ reticence to hire in the preceding expansion - associated in part with a lack of confidence ...
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2007-03-26DiskussionspapierWhat Happened to the Transatlantic Capital Market Relations? This paper investigates the capital market relations between Euroland and the USA from 1990 until 2006. Formally based on the uncovered interest rate parity (UIP), backward recursive estimations establish a long-run ...
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2006-12-21DiskussionspapierWhat kind of shock was it? Eastern Germany´s recovery from the "unification shock" has been characterized by deep structural change – with apparent repercussions for the West as well – and an integration process involving both capital deepening ...
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2016-08-29DiskussionspapierWhat renders financial advisors less treacherous? An advisor is supposed to recommend a financial product in the best interest of her client. However, the best product for the client may not always be the product yielding the highest commission to the advisor. Do advisors ...
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2006-04-26DiskussionspapierWhen did the 2001 recession really start? The paper develops a non-parametric, non-stationary framework for business-cycle dating based on an innovative statistical methodology known as Adaptive Weights Smoothing (AWS). The methodology is used both for the study ...
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2014-11-20DiskussionspapierWhen the Taylor principle isinsufficient This paper derives restrictions on monetary and fiscal policies for determinate equilibria in a two-country monetary union with autarkic members. It finds that a central bank following the Taylor principle may not be ...
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2011-08-15DiskussionspapierWhen to Cross the Spread In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a two- sided limit order market with temporary market ...
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2008-11-05DiskussionspapierWhen, How Fast and by How much do Trade Costs change in the EURO Area? Microfoundations of the euro’s effect on euro area trade hinge on the timing, the speed and the size of adjustment in trade costs. We estimate timing, speed and size of adjustment in trade costs for sectoral trade data. ...
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2007-04-04DiskussionspapierWho Leads Financial Markets? The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, ...