Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373: Neuzugänge
Anzeige der Publikationen 21-40 von 616
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1997-10-22BuchTrend Adjustment Prior to Testing for the Cointegrating Rank of a VAR Process Testing the cointegrating rank of a vector autoregressive process which may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend ...
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1997-09-23BuchThe Term Structure of Interest Rates when the Growth Rate is Unobservable The effect of incomplete information on the term structure of interest rates is examined in the framework of a pure exchange economy under uncertainty. When the growth rate of the aggregate endowment is known, the term ...
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1997-09-10BuchWild Bootstrap Versus Moment-Oriented Bootstrap We investigate the relative merits of a “moment-oriented” bootstrap method of Bunke (1997) in comparison with the classical wild bootstrap of Wu (1986) in nonparametric heteroscedastic regression situations. The “moment-oriented” ...
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1997-08-22BuchKursrelevante Ereignisse bei Unternehmensübernahmen Wir untersuchen Übernahmen deutscher Unternehmen zwischen 1985 und 1993 im Hinblick auf ihren Einfluß auf den Marktwert des Käufers. In Erweiterung bisheriger Studien analysieren wir insbesondere, welche Ereignisse den ...
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1997-06-02BuchThe Efficiency of Bias-Corrected Estimators for Nonparametric Kernel Estimation Based on Local Estimating Equations Stuetzle and Mittal (1979) for ordinary nonparametric kernel regression and Kauermann and Tutz (1996) for nonparametric generalized linear model kernel regression constructed estimators with lower order bias than the usual ...
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1997-07-14BuchRisikomessung mit VaR für Portfolios In dieser Arbeit werden zwei Methoden zur Ermittlung der Eigenkapitalunterlegung von Risikopositionen und die Auswirkungen unterschiedlicher Verteilungsannahmen auf das Value-at-Risk (VaR) untersucht. Die empirischen ...
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1997-07-01BuchTwin Peaks in Regional Unemployment and Returns to Scale in Job-Matching in the Czech Republic The regional distribution of unemployment rates in the Czech Republic over the transition period is shown to be characterized by twin peaks, e.g. a high and a low unemployment equilibrium. The emergence of strong regional ...
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1997-05-01BuchIndustrielle und berufliche Mobilität
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1997-07-01BuchAnimal Spirits, Technology Shocks and the Business Cycle In this paper a two-sector growth model allowing indeterminacy to occur at relatively mild degrees of increasing returns is developed. It is shown that these economies of scale need only be present in one sector of the ...
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1997-07-01BuchIndeterminacy, Business Cycles, and Modest Increasing Returns to Scale In this paper a dynamic model of monopolistic competition with entry and exit has been presented and examined. It is shown that the model displays indeterminacy at modest degrees of increasing returns in cases where the ...
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1997-07-01BuchNonparametric Lag Selection for Time Series A nonparametric version of the Final Prediction Error (FPE) is proposed for lag selection in nonlinear autoregressive time series. We derive its consistency for both local constant and local linear estimators using a derived ...
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1997-07-14BuchLocal Power of Likelihood Ratio Tests for the Cointegrating Rank of a VAR Process Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear ...
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1997-07-08BuchIll-posed inverse problems and their optimal regularization The regularization of ill-posed systems of equations is carried out by corrections of the data or the operator. It is shown how the efficiency of regularizations can be calculated by statistical decision principles. The ...
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1997-06-01BuchDiscrete Time Option Pricing with Flexible Volatility Estimation By extending the GARCH option pricing model of Duan (1995) to more flexible volatility estimation it is shown that the prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results ...
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2006-06-07BuchAsymptotic Properties of the Nonparametric Part in Partial Linear Heteroscedastic Regression Models
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2006-06-07BuchOptional Decomposition and Lagrange Multipliers Let Q be the set of equivalent martingale measures for a given process S, and let X be a process which is a local supermartingale with respect to any measure in Q. The optional decomposition theorem for X states that there ...
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1997-06-19BuchUsing Private Job Agencies In a model with private information of the worker about her ability and unobservable effort choice, the role of public and private employment services is analyzed. The coexistence of an inefficient employment exchange and ...
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2006-06-07BuchComponent Analysis for Additive Models We consider the component analysis problem for a regression model with an additive structure. The problem is to check the hypothesis of linearity for each component without specifying the structure of the remaining components. ...
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2006-06-07BuchSMART Spatial Internet Marketplaces are attractive as a mechanism to enable spatial applications to be built drawing on remote services for supply of data and for data manipulation. They differ from the usual distributed systems ...
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2006-06-02BuchBenchmarking Spatial Joins À La Carte Spatial joins are join operations that involve spatial data types and operators. Spatial access methods are often used to speed up the computation of spatial joins. This paper addresses the issue of benchmarking spatial ...