Auflistung Wirtschaftswissenschaftliche Fakultät nach Titel
Anzeige der Publikationen 536-555 von 1448
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2016-10-19DiskussionspapierForward Guidance under Disagreement This paper compares the effectiveness of date- and state-based forward guidance issued by the Federal Reserve since mid-2011 accounting for the influence of disagreement within the FOMC. Effectiveness is investigated through ...
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2011-10-14DiskussionspapierForward-backward systems for expected utility maximization In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled ...
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2000-09-01BuchFourth moments of multivariate GARCH processes
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2000-06-01BuchFractional Cointegration and Real Exchange Rates This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour ...
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1999-11-01BuchFractional Cointegration and Tests of Present Value Models This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte ...
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2005-10-13BuchFractional Integration and Business Cycle Features We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by ...
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2005-09-16BuchFractional Integration and the Dynamics of UK Unemployment This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional ...
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2001-06-03BuchFragmentation, Globalization and Labor Markets Fragmentation of the value-added-chain is modeled as the reaction of monopolistically competitive firms to the removal of barriers to trade and factor mobility in an integrated trading environment. Since fragmentation ...
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2001-02-01BuchFraming Effects on Asset Markets
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2015-11-23DiskussionspapierFrictions or deadlocks? Job polarization with search and matching frictions This paper extends Pissarides (1990)’s matching model by considering two sectors (routine and manual) and workers’ occupational choices, in the context of skill-biased demand shifts, to the detriment of routine jobs and ...
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2017-02-10DiskussionspapierFRM: a Financial Risk Meter based on penalizing tail events occurrence In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter (Lambda) of a linear quantile lasso regression. The FRM is calculated by taking ...
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2007-05-03DiskussionspapierFrom Animal Baits to Investors’ Preference We consider two semiparametric models for the weight function in a biased sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed ...
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2001-02-20BuchFrom full to bounded rationality Deriving advice that can in fact be utilized by boundedly rational decision makers is a central function of modeling choice making. We illustrate why this role is not being fulfilled well by standard models of full rationality ...
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2015-02-12DiskussionspapierFrom Galloping Inflation toPrice Stability inSteps After the introduction of a stabilization program Israeli inflation decreased from 400% in 1985 to 2% in 2013. This paper analyzes how the remarkable transition process of Israel’s disinflation took place. We reinforce the ...
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2006-01-20BuchFunctional coefficient autoregressive models In this paper we study nonparametric estimation and hypothesis testing procedures for the functional coefficient AR (FAR) models of the form Xt = f1(Xt-d)Xt-1 +…+ fp(Xt-d)Xt-p +εt, first proposed by Chen and Tsay (1993). ...
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2013-01-02DiskussionspapierFunctional Data Analysis of Generalized Quantile Regressions Generalized quantile regressions, including the conditional quantiles and expectiles as special cases, are useful alternatives to the conditional means for characterizing a conditional distribution, especially when the ...
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2016-09-07DiskussionspapierFunctional Principal Component Analysis for Derivatives of Multivariate Curves We present two methods based on functional principal component analysis (FPCA) for the estimation of smooth derivatives of a sample of random functions, which are observed in a more than one-dimensional domain. We apply ...
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2014-01-13DiskussionspapierFunctional stable limit theorems for efficient spectral covolatility estimators We consider noisy non-synchronous discrete observations of a continuous semimartingale. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: onedimensional for the ...
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2005-10-12BuchFurther VAR Evidence for the Effectiveness of a Credit Channel in Germany In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in Germany during the period of monetary targeting from 1975 to 1998 is analyzed. While existing studies of ...
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2010-10-14DiskussionspapierFX Smile in the Heston Model Abstract: The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the ...