Auflistung Sonderforschungsbereich 649: Ökonomisches Risiko nach Titel
Anzeige der Publikationen 464-483 von 832
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2016-03-07DiskussionspapierNeighborhood Effects in Wind Farm Performance The optimization of turbine density in wind farms entails a trade-off between the usage of scarce, expensive land and power losses through turbine wake effects. A quantification and prediction of the wake effect, however, ...
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2016-11-23DiskussionspapierNetwork Quantile Autoregression It is a challenging task to understand the complex dependency structures in an ultra-high dimensional network, especially when one concentrates on the tail dependency. To tackle this problem, we consider a network quantile ...
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2005-07-11DiskussionspapierNew Evidence on the Puzzles Past empirical research on monetary policy in open economies has found evidence of the "delayed overshooting", the "forward discount" and the "exchange rate" puzzles. We revisit the effects of monetary policy on exchange ...
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2009-01-22DiskussionspapierNew recipes for estimating default intensities This paper presents a new approach to deriving default intensities from CDS or bond spreads that yields smooth intensity curves required e.g. for pricing or risk management purposes. Assuming continuous premium or coupon ...
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2011-07-04DiskussionspapierNews-driven Business Cycles in SVARs Recent studies proposed news about future technology growth as the main driver of macroeconomic fluctuations. The identification of these news through stock prices in SVARs has been criticized in the past. Therefore, I ...
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2016-02-29DiskussionspapierNo Role for the HartzReforms? The supply and demand framework of Katz and Murphy (1992) provides new evidence on the source of changes in socially insured full-time and part-time employment in years preceding and following the implementation of the ...
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2009-05-29DiskussionspapierNon-constant Hazard Function and Inflation Dynamics This paper explores implications of nominal rigidity characterized by a non-constant hazard function for aggregate dynamics. I derive the NKPC under an arbitrary hazard function and parameterize it with the Weibull duration ...
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2010-05-11DiskussionspapierNon-Gaussian Component Analysis In this article, we present new ideas concerning Non-Gaussian Component Analysis (NGCA). We use the structural assumption that a high-dimensional random vector X can be represented as a sum of two components - a lowdimensional ...
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2008-09-26DiskussionspapierNonlinear Modeling of Target Leverage with Latent Determinant Variables The trade-off theory on capital structure is tested by modelling the capital structure target as the solution to a maximization problem. This solution maps asset volatility and loss given default to optimal leverage. By ...
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2012-02-15DiskussionspapierNonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes For a Lévy process X having finite variation on compact sets and finite first moments, µ( dx) = xv( dx) is a finite signed measure which completely describes the jump dynamics. We construct kernel estimators for linear ...
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2015-01-12DiskussionspapierNonparametric change-pointanalysis of volatility This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itˆo semi-martingale, which is discretely observed over a fixed time horizon. We construct a ...
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2014-01-31DiskussionspapierNonparametric Estimates for Conditional Quantiles of Time Series We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated ...
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2015-11-12DiskussionspapierNonparametric Estimation in case of Endogenous Selection This paper addresses the problem of estimation of a nonparametric regression function from selectively observed data when selection is endogenous. Our approach relies on independence between covariates and selection ...
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2010-04-01DiskussionspapierNonparametric Estimation of Risk-Neutral Densities This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the ...
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2012-08-17DiskussionspapierNonparametric Kernel Density Estimation Near the Boundary Standard fixed symmetric kernel type density estimators are known to encounter problems for positive random variables with a large probability mass close to zero. We show that in such settings, alternatives of asymmetric ...
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2011-11-10DiskussionspapierNonparametric Nonstationary Regression with Many Covariates This article studies nonparametric estimation of a regression model for d ≥ 2 potentially non- stationary regressors. It provides the first nonparametric procedure for a wide and important range of practical problems, for ...
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2005-03-01DiskussionspapierNonparametric Productivity Analysis How can we measure and compare the relative performance of production units? If input and output variables are one dimensional, then the simplest way is to compute efficiency by calculating and comparing the ratio of output ...
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2010-12-06DiskussionspapierNonparametric Regression with Nonparametrically Generated Covariates We analyze the properties of non- and semiparametric estimation procedures involving nonparametric regression with generated covariates. Such estimators appear in numerous econometric applications, including nonparametric ...
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2004-10-27DiskussionspapierNonparametric Risk Management with Generalized Hyperbolic Distributions In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution ...
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2014-03-10DiskussionspapierNonparametric Test fora Constant Beta over aFixed Time Interval We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the ...