Auflistung Sonderforschungsbereich 649: Ökonomisches Risiko nach Schlagwort "310 Sammlungen allgemeiner Statistiken"
Anzeige der Publikationen 1-20 von 239
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2014-01-13DiskussionspapierA consistent two-factor model for pricing temperature derivatives We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological ...
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2016-08-30DiskussionspapierA first econometric analysis of the CRIX family The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on different ...
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2014-10-20DiskussionspapierA MacroeconomicPerspective on theEquivalence of Taxes Paidby Employers andEmployees Conventional wisdom states that the statutory split of payroll taxa- tion between firms and workers is of no macroeconomic relevance, because the tax incidence is fully determined by the market structure. This pa- per ...
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2016-06-21DiskussionspapierA Mortality Model forMulti-populations Mortality is different across countries, states and regions. Several empirical research works however reveal that mortality trends exhibit a common pattern and show similar structures across populations. The key element ...
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2013-08-07DiskussionspapierA new perspective on the economic valuation of informal care Informal care has drawn much attention among scholars and policymakers as it concerns an essential but hard to evaluate resource of welfare. Albeit several studies addressed the monetary value of informal care, differences ...
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2014-01-03DiskussionspapierA Simultaneous Confidence Corridor for Varying Coefficient Regression with Sparse Functional Data We consider a varying coefficient regression model for sparse functional data, with time varying response variable depending linearly on some time independent covariates with coefficients as functions of time dependent ...
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2014-10-12DiskussionspapierA Tale of Two Tails We present a three-player game in which a proposer makes a suggestion on how to split $10 with a passive responder. The offer is accepted or rejected depending on the strategy profile of a neutral third-party whose payoffs ...
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2014-11-03DiskussionspapierA Theory of PriceAdjustment under LossAversion We present a new partial equilibrium theory of price adjustment, based on consumer loss aversion. In line with prospect theory, the consumers’ perceived utility losses from price increases are weighted more heavily than ...
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2013-03-07DiskussionspapierA Transfer Mechanism for a Monetary Union We show in a dynamic stochastic general equilibrium framework that the introduction of a common currency by a group of countries with only partially integrated goods markets, incomplete ?nancial markets and no labor migration ...
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2012-08-09DiskussionspapierA uniform central limit theorem and efficiency for deconvolution estimators We estimate linear functionals in the classical deconvolution problem by kernel estimators. We obtain a uniform central limit theorem with square root n rate on the assumption that the smoothness of the functionals is ...
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2016-05-09DiskussionspapierAcademic Ranking Scales in Economics Publications are a vital element of any scientist’s career. It is not only the number of media outlets but aslo the quality of published research that enters decisions on jobs, salary, tenure, etc. Academic ranking scales ...
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2014-07-08DiskussionspapierAdaptive Order FlowForecasting withMultiplicativeError Models A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict ...
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2016-03-07DiskussionspapierAggregate Employment,Job PolarizationAnd Inequalities This paper develops a multi-sectorial search and matching model with endogenous occupational choice in a context of structural change. Our objective is to shed light on the way labor market institutions affect aggregate ...
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2015-04-22DiskussionspapierAn Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China’s key macroeconomic variables: GDP growth, inflation and the 7-day interbank lending rate. The approach ...
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2014-02-19DiskussionspapierAn Application of Principal Component Analysis on Multivariate Time-Stationary Spatio-Temporal Data Principal component analysis denotes a popular algorithmic technique to dimension reduction and factor extraction. Spatial variants have been proposed to account for the particularities of spatial data, namely spatial ...
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2014-01-03DiskussionspapierAn Extended Single Index Model with Missing Response at Random An extended single-index model is considered when responses are missing at random. A three-step estimation procedure is developed to define an estimator for the single index parameter vector by a joint estimating equation. ...
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2013-05-28DiskussionspapierAnalysis of Deviance in Generalized Partial Linear Models We develop analysis of deviance tools for generalized partial linear models based on local polynomial fitting. Assuming a canonical link, we propose expressions for both local and global analysis of deviance, which admit ...
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2013-02-28DiskussionspapierAre There Bubbles in the Sterling-dollar Exchange Rate? There has been mixed evidence regarding the existence of rational bubbles in the foreign exchange markets. This paper introduces recently developed sequential unit root tests into the analysis of exchange rates bubbles. ...
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2014-10-20DiskussionspapierAre US InflationExpectations Re-Anchored? Anchored inflation expectations are of key importance for monetary policy. If long-terminflation expectations arewell-anchored, they should be unaffected by short-termeconomic news. This letter introduces newsregressions ...
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2013-09-26DiskussionspapierAssortative matching through signals When agents do not know where to find a match, they search. However, agents could direct their search to agents who strategically choose a certain signal. Introducing cheap talk to a model of sequential search with bargaining, ...