Browsing Wirtschaftswissenschaftliche Fakultät by Title
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20050930BuchA Generalized Fractional Time Series Model We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components ...

20060316BuchA generic architecture for hybrid intelligent systems The integration of different learning and adaptation techniques in one architecture, to overcome individual limitations and achieve synergetic effects through hybridization or fusion of these techniques, has in recent years ...

19991115BuchA Guided Tour through Quadratic Hedging Approaches

20031119BuchA Heliocentric Journey into Germany’s Great Depression The paper finds empirical evidence on the ripple effect of sunspots on the interwar German economy. It identifies a sequence of negative shocks to expectations for the 1927 to 1932 period. The artificial economy predicts ...

20090323BuchA Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation ...

20051012BuchA Joint Test of Fractional Cyclic Integration and a Linear Time Trend We propose in this article a joint test for testing simultaneously a deterministic trend component and the degree of integration of the cyclical component in a given time series. The test is directly derived from Robinson’s ...

20060426BuchA jumpdiffusion Libor model and its robust calibration In this paper we propose a jumpdiffusion Libor model with jumps in a highdimensional space (Rm) and test a stable nonparametric calibration algorithm which takes into account a given local covariance structure. The ...

20050930BuchA Local Instrumental Estimation Method for Generalized Additive Volatility Models

20141020BuchA MacroeconomicPerspective on theEquivalence of Taxes Paidby Employers andEmployees Conventional wisdom states that the statutory split of payroll taxa tion between firms and workers is of no macroeconomic relevance, because the tax incidence is fully determined by the market structure. This pa per ...

20051013BuchA Market Basket Analysis Based on the Multivariate MNL Model The following research is guided by the hypothesis, that products chosen on a shopping trip in a supermarket are an indicator of the preference interdependencies between different products or brands. The bundle chosen on ...

20050501BuchA Market Basket Analysis Conducted with a Multivariate Logit Model The following research is guided by the hypothesis that products chosen on a shopping trip in a supermarket can indicate the preference interdependencies between different products or brands. The bundle chosen on the trip ...

20090217BuchA Microeconomic Explanation of the EPK Paradox Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In ChabiYo et al. (2008) simulation studies have been presented which suggest that this paradox might ...

20000929BuchA Minimal Financial Market Model

20060316BuchA Minimality Property of the Minimal Martingale Measure Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P is the unique ELMM for X with the property that local Pmartingales strongly ...

20051017BuchA Mixed User Interface for a Statistical System

19980403BuchA Model Specification Test A general model specification test of a parametric model against a nonparametric or semiparametric alternative is studied. The test statistic employs a fixed kernel, not varying by a bandwidth. This test is proved to be ...

19971125BuchA Money Demand System for M3 in the Unified Germany A small macroeconomicmodel is constructed starting from a German money demand relation for M3 based on quarterly, seasonally unadjusted data for the period from 1976 to 1996. In contrast to previous studies we build a ...

20020603BuchA Monte Carlo Study of Structural Equation Modelsfor Finite Mixtures Empirical applications of structural equation modeling (SEM) typically rest on the assumption that the analysed sample is homogenous with respect to the underlying structural model or that homogenous subsamples have been ...

20160621BuchA Mortality Model forMultipopulations A SemiParametric ApproachMortality is different across countries, states and regions. Several empirical research works however reveal that mortality trends exhibit a common pattern and show similar structures across populations. The key element ...

20161222DiskussionspapierA Multicity Study of Association between Air Pollution and CHD Mortality in China by Using Time Series Threshold Poisson Regression Model There are few multicity studies to address the effect of shortterm effect of particulate matter air pollution on daily Coronary Heart Disease (CHD) mortality in developing countries, much fewer to further discuss its ...