Browsing Wirtschaftswissenschaftliche Fakultät by Title
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20010718BuchA Benchmark Model for Financial Markets

20091021BuchA blocking and regularization approach to high dimensional realized covariance estimation We introduce a regularization and blocking estimator for wellconditioned highdimensional daily covariances using highfrequency data. Using the BarndorffNielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we ...

20000224BuchA Bootstrap Test for Single Index Models

20081218BuchA Brand Specific Investigation of International Cost Shock Threats on Price and Margin with a ManufacturerWholesalerRetailer 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 ...

19970207BuchA class of HealthJarrowMorton models in which the unbiased expectations hypothesis holds The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage ...

20060124BuchA Combined Approach for SegmentSpecific 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 ...

20051012BuchA Comparison of Punishment Rules in Repeated Public Good Games An Experimental StudyIn this experimental study we analyse three collective and one individual punishment rule in a public good setting. We show that under all punishment rules cooperation is stronger and more sustainable than reported from ...

20110103BuchA 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 expectilesmoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency ...

20110103BuchA 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 ...

20080107BuchA 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 ...

20060202BuchA Consistent Nonparametric Test of the Convexity of Regression Based on Least Squares Splines This paper provides a test of convexity of a regression function. This test is based on the least squares splines. The test statistic is shown to be asymptotically of size equal to the nominal level, while diverging to ...

20140113BuchA consistent twofactor model for pricing temperature derivatives We analyze a consistent twofactor 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 ...

20060911BuchA Control Approach to Robust Utility Maximization with Logarithmic Utility and TimeConsistent 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 ...

20120105BuchA 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, ...

20050306BuchA 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 ...

20160830BuchA 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 ...

20050929BuchA Fractionally Integrated Exponential Model for U.K. Unemployment Fractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling the U.K. unemployment. This enables us a better understanding of the ...

20050929BuchA Fractionally Integrated Model with a Mean Shift for the U.S. and the U.K. Real Oil Prices In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null ...

20060310BuchA Framework for Micropayment Evaluation Lacking payment systems become a bottleneck for the vision of the Information Economy. In many cases payments of fractions of a cent, socalled micropayments, are of particular interest. In this paper we propose a framework ...

20070425BuchA Generalized ARFIMA Process with MarkovSwitching Fractional Differencing Parameter We propose a general class of MarkovswitchingARFIMA processes in order to combine strands of long memory and Markovswitching literature. Although the coverage of this class of models is broad, we show that these models ...