Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Subject "17 Wirtschaft"
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19970207BuchA class of HealthJarrowMorton models in which the unbiased expectations hypothesis holds The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage ...

20060202BuchA Consistent Nonparametric Test of the Convexity of Regression Based on Least Squares Splines This paper provides a test of convexity of a regression function. This test is based on the least squares splines. The test statistic is shown to be asymptotically of size equal to the nominal level, while diverging to ...

20060310BuchA Framework for Micropayment Evaluation Lacking payment systems become a bottleneck for the vision of the Information Economy. In many cases payments of fractions of a cent, socalled micropayments, are of particular interest. In this paper we propose a framework ...

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 ...

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 ...

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 ...

20060609BuchA Nonparametric Analysis of Regional Unemployment Dynamics in Britain This paper estimates the probability distribution of relative county unemployment in Britain for the years 19811995. We find that the distribution is unimodal in all years, with a falling variance between 1989 and 1994. ...

20060202BuchA Nonparametric Test for the Stationary Density We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2distance between a nonparametric and a smoothed version ...

20060202BuchA nonparametric test of the nonconvexity of regression This paper proposes a nonparametric test of the nonconvexity of a smooth regression function based on least squares or hybrid splines. By a simple formulation of the convexity hypothesis in the class of all polynomial ...

20060202BuchA Note on Limit Theorems for Multivariate Martingales Multivariate versions of the law of large numbers and the central limit theorem for martingales are given in a generality that is often necessary when studying statistical inference for stochastic process models. To ...

19971213BuchA Note on Stochastic Volatility, GARCH models, and Hyperbolic Distributions We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock ...

20060602BuchA Note on the Email Game

19980625BuchA psychological approach to individual differences in intertemporal consumption patterns When people decide about saving and consumption across the various periods of their life time they take into account their life expectancy when comparing present and future needs and resources for satisfying them. The ...

19981020BuchA Review of systemscointegration tests

19980601BuchA SealedBid Auction that Matches the English Auction This paper analyzes a twostage sealedbid auction that is frequently employed in privatization, takeover, and merger and acquisition contests. This auction format yields the same expected revenue as the open ascending ...

19990201BuchA simple variable selection technique for nonlinear models Applying nonparametric variable selection criteria in nonlinear regression models generally requires a substantial computational effort if the data set is large. In this paper we present a selection technique that is ...

20060127BuchAdditional Logarithmic Utility of an Insider In this paper, we consider a security market in which two investors on different information levels maximize their expected logarithmic utility from terminal wealth. While the ordinary investor’s portfolio decisions are ...

20060316BuchAdditive and Generalized Additive Models This paper is the attempt to summarize the state of art in additive and generalized additive models (GAM). The emphasis is on approaches and numerical procedures which have emerged since the monograph of Hastie and Tibshirani ...

19981001BuchAlternative GMM Methods for Nonlinear Panel Data Models