The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial positions. For the special case of a terminal cash flow, we require that risk depends on its conditional distribution ...

This paper derives new results on the effects of employing Taylor rules in economies that are subject to real market imperfections such as production externalities. Taylor rules that aggressively respond to output can ...

Empirical studies of open-market share repurchases in the U.S. typically find a mean abnormal return around the announcement day of about 3%. In Germany share repurchases were highly restricted before May 1998. Since then ...

We consider an optimal stopping problem in a certain model described by a stochastic delay differential equation. We reduce the initial problem to a free-boundary problem of parabolic type and prove the corresponding ...

An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models, estimating their parameters and specifying the autoregressive order, the cointegrating rank and other ...

Search for an unknown set A,Card(A) = s, of significant variables of a linear model with random IID discrete binary carriers and finitely supported IID noise is studied. Two statistics T1, Ts, based on maximization of ...

Tests for unit roots in univariate time series with level shifts are proposed and investigated. The level shift is assumed to occur at a known time. It may be a simple one-time shift which can be captured by a dummy variable ...

We propose a method of adaptive estimation of a regression function and which is near optimal in the classical sense of the mean integrated error. At the same time, the estimator is shown to be very sensitive to discontinuities ...

East-West migration in Germany peaked at the beginning of the 90s although the average wage gap between Eastern and Western Germany continues to average about 25%. We analyze the propensity to migrate using microdata from ...