Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Title
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20010718BuchA Benchmark Model for Financial Markets

20000224BuchA Bootstrap Test for Single Index Models

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 ...

20051012BuchA Comparison of Punishment Rules in Repeated Public Good Games An Experimental StudyIn this experimental study we analyse three collective and one individual punishment rule in a public good setting. We show that under all punishment rules cooperation is stronger and more sustainable than reported from ...

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 ...

20050929BuchA Fractionally Integrated Exponential Model for U.K. Unemployment Fractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling the U.K. unemployment. This enables us a better understanding of the ...

20050929BuchA Fractionally Integrated Model with a Mean Shift for the U.S. and the U.K. Real Oil Prices In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null ...

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 ...

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 ...

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 ...

20050930BuchA Local Instrumental Estimation Method for Generalized Additive Volatility Models

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 ...

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 ...