Browsing Sonderforschungsbereich 649: Ökonomisches Risiko by Title
Now showing items 1-20 of 832
-
2009-10-21BuchA blocking and regularization approach to high dimensional realized covariance estimation We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we ...
-
2008-12-18BuchA Brand Specific Investigation of International Cost Shock Threats on Price and Margin with a Manufacturer-Wholesaler-Retailer Model In times of increasing oil prices and a weak dollar, European companies that focus their business on the US market may find themselves in a weak position. While many businesses can hedge this kind of risk by relocating ...
-
2006-01-24BuchA Combined Approach for Segment-Specific Analysis of Market Basket Data There are two main research traditions for analyzing market basket data that exist more or less independently from each other, namely exploratory and explanatory model types. Exploratory approaches are restricted to the ...
-
2011-01-03BuchA Confidence Corridor for Expectile Functions Let (X1; Y1), …, (Xn; Yn) be i.i.d. rvs and let v(x) be the unknown τ - expectile regression curve of Y conditional on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency ...
-
2011-01-03BuchA Confidence Corridor for Sparse Longitudinal Data Curves Longitudinal data analysis is a central piece of statistics. The data are curves and they are observed at random locations. This makes the construction of a simultaneous confidence corridor (SCC) (confidence band) for the ...
-
2008-01-07BuchA Consistent Nonparametric Test for Causality in Quantile This paper proposes a nonparametric test of causality in quantile. Zheng (1998) has proposed an idea to reduce the problem of testing a quantile restriction to a problem of testing a particular type of mean restriction in ...
-
2014-01-13BuchA 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 ...
-
2006-09-11BuchA Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties We propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market ...
-
2012-01-05BuchA Donsker Theorem for Lévy Measures Given n equidistant realisations of a Lévy process (Lt; t >= 0), a natural estimator for the distribution function N of the Lévy measure is constructed. Under a polynomial decay restriction on the characteristic function, ...
-
2005-03-06BuchA Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics A primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional ...
-
2016-08-30BuchA 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 ...
-
2007-04-25BuchA Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models ...
-
2009-03-23BuchA Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation ...
-
2006-04-26BuchA jump-diffusion Libor model and its robust calibration In this paper we propose a jump-diffusion Libor model with jumps in a high-dimensional space (Rm) and test a stable non-parametric calibration algorithm which takes into account a given local covariance structure. The ...
-
2014-10-20BuchA 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 ...
-
2005-05-01BuchA Market Basket Analysis Conducted with a Multivariate Logit Model The following research is guided by the hypothesis that products chosen on a shopping trip in a supermarket can indicate the preference interdependencies between different products or brands. The bundle chosen on the trip ...
-
2009-02-17BuchA Microeconomic Explanation of the EPK Paradox Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might ...
-
2016-06-21BuchA Mortality Model forMulti-populations A Semi-Parametric ApproachMortality 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 ...
-
2016-12-22DiskussionspapierA Multicity Study of Association between Air Pollution and CHD Mortality in China by Using Time Series Threshold Poisson Regression Model There are few multicity studies to address the effect of short-term effect of particulate matter air pollution on daily Coronary Heart Disease (CHD) mortality in developing countries, much fewer to further discuss its ...
-
2011-08-12BuchA Network Model of Financial System Resilience We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a financial system. Systemic instability is explored in a financial network ...
