Auflistung Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 nach Titel
Anzeige der Publikationen 215-234 von 616
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2001-06-12BuchFairness in the Mail and Opportunism in the Internet On May 11, 2001, readers of the Berliner Zeitung were invited to participate in an ultimatum bargaining experiment played in the strategy vector-mode: Each participant chooses not only how much (s)he demands of the DM ...
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2000-12-01BuchFairness versus Efficiency Fairness is a strong concern as shown by the robust results of dictator giving and ultimatum experiments. Efficiency, measured by the sum of individual payoffs, is another potential concern in games such as the prisoners’ ...
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1998-03-01BuchFinance, Investment, and Firm Value in Germany and the US Germany and the United States are generally seen as the two competing systems of corporate governance. In search for a comparative welfare analysis of the financial systems, we are interested in (i) the aggregate value-added ...
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1997-06-03BuchFinancial calculations on the net
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2001-06-13BuchFinancial price fluctuations in a stock market model with many interacting agents We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on ...
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2003-08-06BuchFitting the Smile Revisited Nonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular, since they do not impose a specific functional form on the estimate. Traditionally, these methods are ...
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2005-10-12BuchFixed-term contracts in East and West Germany Amid lively debate on the consequences of temporary employment, the paper examines the wages and transitions of temporary employees in Germany using socio-economic panel data from the late 1990s. Compared to simple OLS ...
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1998-03-01BuchFlexible Stochastic Volatility Structures for High Frequency Financial Data Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop ...
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2005-09-29BuchFlexible Time Series Analysis
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1999-09-01BuchForecasting Cointegrated VARMA Processes
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2006-03-16BuchForecasting performance of market share attraction models
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2005-10-12BuchForecasting sectoral trade growth under flexible exchange rates
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2005-10-12BuchForecasting the Real Output Using Fractionally Integrated Techniques The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show ...
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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