Center for Financial Studies

For technical questions regarding this series, please contact (Birgit Pässler)
Series handle: repec:cfs:cfswop

• 2008/14 Value-at-Risk and Expected Shortfall for Rare Events
  by Stefan Mittnik & Tina Yener [Downloadable!]

• 2008/13 Increasing Public Expenditures: Wagner’s Law in OECD Countries
  by Serena Lamartina & Andrea Zaghini [Downloadable!]
• 2008/08 Multivariate Regime–Switching GARCH with an Application to International Stock Markets
  by Markus Haas & Stefan Mittnik [Downloadable!]
• 2008/07 Asymmetric Multivariate Normal Mixture GARCH
  by Markus Haas & Stefan Mittnik & Mark S. Paolella [Downloadable!]

• 2007/25 Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model
  by Nikolaus Hautsch [Downloadable!]
• 2007/24 The CFS International Capital Flow Database: A User’s Guide
  by Christian Offermanns & Marcus Pramor [Downloadable!]
• 2007/23 International Investment Positions and Exchange Rate Dynamics: A Dynamic Panel Analysis
  by Michael Binder & Christian Offermanns [Downloadable!]
• 2007/18 Money in Monetary Policy Design under Uncertainty: A Formal Characterization of ECB-Style Cross-Checking
  by Guenter W. Beck & Volker Wieland [Downloadable!]
• 2007/17 Money in Monetary Policy Design under Uncertainty: The Two-Pillar Phillips Curve versus ECB-Style Cross-Checking
  by Guenter W. Beck & Volker Wieland [Downloadable!]
• 2007/16 Gradualism, Transparency and Improved Operational Framework: A Look at the Overnight Volatility Transmission
  by Silvio Colarossi & Andrea Zaghini [Downloadable!]
• 2007/14 Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data
  by Jean Boivin & Marc P. Giannoni & Ilian Mihov [Downloadable!]
• 2007/13 Menu Costs, Multi-Product Firms, and Aggregate Fluctuations
  by Virgiliu Midrigan [Downloadable!]
• 2007/12 Robustly Optimal Monetary Policy with Near-Rational Expectations
  by Michael Woodford [Downloadable!]
• 2007/11 Bayesian and Adaptive Optimal Policy under Model Uncertainty
  by Lars E.O. Svensson & Noah Williams [Downloadable!]
• 2007/10 Mortgage Markets, Collateral Constraints, and Monetary Policy: Do Institutional Factors Matter?
  by Alessandro Calza & Tommaso Monacelli & Livio Stracca [Downloadable!]
• 2007/09 Unemployment Fluctuation with Staggered Nash Wage Bargaining
  by Mark Gertler & Antonella Trigari [Downloadable!]
• 2007/08 A New Keynesian Model with Unemployment
  by Olivier Blanchard & Jordi Galí [Downloadable!]
• 2007/07 Identifying the Role of Labor Markets for Monetary Policy in an Estimated DSGE Model
  by Kai Christoffel & Keith Kuester & Tobias Linzert [Downloadable!]
• 2007/06 The Mistake of 1937: A General Equilibrium Analysis
  by Gauti B. Eggertsson & Benjamin Pugsley [Downloadable!]
• 2007/05 Three Great American Disinflations
  by Michael Bordo & Christopher Erceg & Andrew Levin & Ryan Michaels [Downloadable!]
• 2006/34 Consumption Smoothing and Liquidity Income Redistribution
  by Giuseppe Bertola & Winfried Koeniger [Downloadable!]
• 2006/33 Credit Cycles and Macro Fundamentals
  by Siem Jan Koopman & Roman Kräussl & André Lucas & André Monteiro [Downloadable!]
• 2007/14 Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data
  by Jean Boivin & Marc P. Giannoni & Ilian Mihov [Downloadable!]

• 2006/32 Does Patience Pay? Empirical Testing of the Option to Delay Accepting a Tender Offer in the U.S. Banking Sector
  by Rachel A. Campbell & Roman Kräussl [Downloadable!]
• 2006/31 Revisiting the Home Bias Puzzle. Downside Equity Risk
  by Rachel A. Campbell & Roman Kräussl [Downloadable!]
• 2006/30 Global Monetary Policy Shocks in the G5: A SVAR Approach
  by Joao Miguel Sousa & Andrea Zaghini [Downloadable!]
• 2006/29 Public Policy and Venture Capital Financed Innovation: A Contract Design Approach
  by Julia Hirsch [Downloadable!]
• 2006/28 Optimal Choice and Beliefs with Ex Ante Savoring and Ex Post Disappointment
  by Christian Gollier & Alexander Muermann [Downloadable!]
• 2006/27 Tying Lending and Underwriting: Scope Economies, Incentives, and Reputation
  by Christian Laux & Uwe Walz [Downloadable!]
• 2006/26 Mutual versus Stock Insurers: Fair Premium, Capital, and Solvency
  by Christian Laux & Alexander Muermann [Downloadable!]
• 2006/25 Stock Market Interactions and the Impact of Macroeconomic News – Evidence from High Frequency Data of European Futures Markets
  by Bea Canto & Roman Kräussl [Downloadable!]
• 2006/24 Portfolio Optimization wehn Risk Factors are Conditionally Varying and Heavy Tailed
  by Toker Doganoglu & Christoph Hartz & Stefan Mittnik [Downloadable!]
• 2006/23 Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model
  by Christoph Hartz & Stefan Mittnik & Marc S. Paolella [Downloadable!]
• 2006/22 Taxing Capital? Not a Bad Idea After All!
  by Dirk Krueger & Hanno Lustig & Fabrizio Perri [Downloadable!]
• 2006/21 Taxing Capital? Not a Bad Idea After All!
  by Juan Carlos Conesa & Sagiri Kitao & Dirk Krueger [Downloadable!]
• 2006/20 Baby Boomer Retirement Security: The Roles of Planning, Financial Literacy,and Housing Wealth
  by Annamaria Lusardi & Olivia S. Mitchell [Downloadable!]
• 2006/19 Credit Cards: Facts and Theories
  by Carol C. Bertaut & Michael Haliassos [Downloadable!]
• 2006/18 On the Consequences of Demographic Change for Rates of Returns to Capital, and the Distribution of Wealth and Welfare
  by Dirk Krueger & Alexander Ludwig [Downloadable!]
• 2006/17 Mark-to-Market Accounting and Liquidity Pricing
  by Franklin Allen & Elena Carletti [Downloadable!]
• 2006/16 Precautionary Savings and the Importance of Business Owners
  by Erik Hurst & Arthur Kennickell & Annamaria Lusardi & Francisco Torralba [Downloadable!]
• 2006/15 Disentangling the Importance of the Precautionary Saving Motive
  by Arthur Kennickell & Annamaria Lusardi [Downloadable!]
• 2006/13 The Boom-Bust Cycle in Finland and Sweden 1984-1995 in an International Perspective
  by Lars Jonung & Ludger Schuknecht & Mika Tujula [Downloadable!]
• 2006/12 Why Do Contracts Differ between VC Types? Market Segmentation versus Corporate Governance Varieties
  by Julia Hirsch & Uwe Walz [Downloadable!]
• 2006/11 The Dynamics of Venture Capital Contracts
  by Carsten Bienz & Julia Hirsch [Downloadable!]
• 2006/10 Retirement Expectations, Pension Reforms, and Their Impact on Private Wealth Accumulation
  by Renata Bottazzi & Tullio Jappelli & Mario Padula [Downloadable!]
• 2006/09 Multivariate Normal Mixture GARCH
  by Markus Haas & Stefan Mittnik & Marc S. Paolella [Downloadable!]
• 2006/08 Mean Variance Optimization of Non-Linear Systems and Worst-case Analysis
  by Elena Carletti & Philipp Hartmann & Giancarlo Spagnolo [Downloadable!]
• 2006/04 Risk Transfer with CDOs and Systemic Risk in Banking
  by Jan Pieter Krahnen & Christian Wilde [Downloadable!]
• 2006/03 Mean Variance Optimization of Non-Linear Systems and Worst-case Analysis
  by Panos Parpas & Berc Rustem & Volker Wieland & Stan Zakovic [Downloadable!]

• 2005/33 The Volatility of Realized Volatility
  by Fulvio Corsi & Uta Kretschmer & Stefan Mittnik & Christian Pigorsch [Downloadable!]
• 2005/32 Do Consumers Choose the Right Credit Contracts?
  by Sumit Agarwal & Souphala Chomsisengphet & Chunlin Liu & Nicholas S. Souleles [Downloadable!]
• 2005/31 Inflation Rate Dispersion and Convergence in Monetary and Economic Unions: Lessons for the ECB
  by Günter W. Beck & Axel A. Weber [Downloadable!]
• 2005/30 Price Stability, Inflation Convergence and Diversity in EMU: Does One Size Fit All?
  by Axel A. Weber & Günter W. Beck [Downloadable!]
• 2005/29 Awareness and Stock Market Participation
  by Luigi Guiso & Tullio Jappelli [Downloadable!]
• 2005/28 Intertemporal Choice and Consumption Mobility
  by Tullio Jappelli & Luigi Pistaferri [Downloadable!]
• 2005/27 Trusting the Stock Market
  by Luigi Guiso & Paola Sapienza & Luigi Zingales [Downloadable!]
• 2005/26 Credit Card Debt Puzzles
  by Michael Halisassos & Michael Reiter [Downloadable!]
• 2005/25 Credit Risk Transfer and Contagion
  by Franklin Allen & Elena Carletti [Downloadable!]
• 2005/24 Insuring the Uninsurable: Brokers and Incomplete Insurance Contracts
  by Neil A. Doherty & Alexander Muermann [Downloadable!]
• 2005/23 Credit Market Competition and Capital Regulation
  by Franklin Allen & Elena Carletti & Robert Marquez [Downloadable!]
• 2005/22 Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
  by Sean D. Campbell & Francis X. Diebold [Downloadable!]
• 2005/21 ART Versus Reinsurance: The Disciplining Effect of Information Insensitivity
  by Silke Brandts & Christian Laux [Downloadable!]
• 2005/20 Equity Culture and the Distribution of Wealth
  by Yannis Bilias & Dimitris Georgarakos & Michael Haliassos [Downloadable!]
• 2005/19 A Quantitative Exploration of the Opportunistic Approach to Disinflation
  by Yunus Aksoy & Athanasios Orphanides & David Small & Volker Wieland & David Wilcox [Downloadable!]
• 2005/18 The Method of Endogenous Gridpoints for Solving Dynamic Stochastic Optimization Problems
  by Christopher D. Carroll [Downloadable!]
• 2005/17 The Optimal Inflation Buffer with a Zero Bound
  by Roberto Billi [Downloadable!]
• 2005/16 Discretionary Monetary Policy and the Zero Lower Bound on Nominal Interest Rates
  by Klaus Adam & Roberto Billi [Downloadable!]
• 2005/15 Does Income Inequality Lead to Consumption Inequality? Evidence and Theory
  by Dirk Krueger & Fabrizio Perri [Downloadable!]
• 2005/14 Stochastic Optimization and Worst-Case Analysis in Monetary Policy Design
  by Berc Rustem & Volker Wieland & Stan Zakovic [Downloadable!]
• 2005/13 Insurance Policies for Monetary Policy in the Euro Area
  by Keith Küster & Volker Wieland [Downloadable!]
• 2005/12 Pareto Improving Social Security Reform when Financial Markets are Incomplete!?
  by Dirk Krueger & Felix Kubler [Downloadable!]
• 2005/11 While much of classical statistical analysis is based on Gaussian distributional assumptions, statistical modeling with the Laplace distribution has gained importance in many applied fields. This phenomenon is rooted in the fact that, like the Gaussian, the Laplace distribution has many attractive properties. This paper investigates two methods of combining them and their use in modeling and predicting financial risk. Based on 25 daily stock return series, the empirical results indicate that the new models offer a plausible description of the data. They are also shown to be competitive with, or superior to, use of the hyperbolic distribution, which has gained some popularity in asset-return modeling and, in fact, also nests the Gaussian and Laplace
  by Markus Haas & Stefan Mittnik & Marc S. Paolella [Downloadable!]
• 2005/10 On the Optimal Progressivity of the Income Tax Code
  by Juan Carlos Conesa & Dirk Krueger [Downloadable!]
• 2005/09 Assessing Central Bank Credibility During the ERM Crises: Comparing Option and Spot Market-Based Forecasts
  by Markus Haas & Stefan Mittnik & Bruce Mizrach [Downloadable!]
• 2005/08 Volatility Forecasting
  by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold [Downloadable!]
• 2005/07 Competitive Risk Sharing Contracts with One-Sided Commitment
  by Dirk Krueger & Harald Uhlig [Downloadable!]
• 2005/06 Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations
  by Günter Franke & Jan Pieter Krahnen [Downloadable!]
• 2005/05 Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes
  by Jan Pieter Krahnen [Downloadable!]
• 2005/04 A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
  by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu [Downloadable!]
• 2005/03 Modeling Bond Yields in Finance and Macroeconomics
  by Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch [Downloadable!]
• 2005/02 Practical Volatility and Correlation Modeling for Financial Market Risk Management
  by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold [Downloadable!]
• 2005/01 The Reform of October 1979: How It Happened and Why
  by David E. Lindsey & Athanasios Orphanides & Robert H. Rasche [Downloadable!]

• 2004/25 The Basel II Accord: Internal Ratings and Bank Differentiation
  by Eberhard Feess & Ulrich Hege [Downloadable!]
• 2004/24 The Decline of Activist Stabilization Policy: Natural Rate Misperceptions, Learning, and Expectations
  by Athanasios Orphanides & John C. Williams [Downloadable!]
• 2004/23 Understanding the Effects of Government Spending on Consumption
  by Jordi Galí & J.David López-Salidoz & Javier Vallés [Downloadable!]
• 2004/22 Monetary Discretion, Pricing Complementarity and Dynamic Multiple Equilibria
  by Robert G. King & Alexander L. Wolman [Downloadable!]
• 2004/21 The Basle Securitisation Framework Explained: The Regulatory Treatment of Asset Securitisation
  by Andreas Jobst [Downloadable!]
• 2004/20 The comovement of credit default swap, bond and stock markets: an empirical analysis
  by Lars Norden & Martin Weber [Downloadable!]
• 2004/19 Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
  by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega [Downloadable!]
• 2004/18 Multiple-bank lending: diversification and free-riding in monitoring
  by Elena Carletti & Vittoria Cerasi & Sonja Daltung [Downloadable!]
• 2004/17 Legality and Venture Governance Around the World
  by Douglas Cumming & Daniel Schmidt & Uwe Walz [Downloadable!]
• 2004/16 Realized Beta: Persistence and Predictability
  by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu [Downloadable!]
• 2004/15 Are Stationary Hyperinflation Paths Learnable?
  by Klaus Adam & George W. Evans & Seppo Honkapohja [Downloadable!]
• 2004/14 Exchange-Rate Policy and the Zero Bound on Nominal Interest
  by Günter Coenen & Volker Wieland [Downloadable!]
• 2004/13 Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates
  by Klaus Adam & Roberto M. Billi [Downloadable!]
• 2004/12 Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations
  by Daniel Schmidt [Downloadable!]
• 2004/11 The Nobel Memorial Prize for Robert F. Engle
  by Francis X. Diebold [Downloadable!]
• 2004/10 Weather Forecasting for Weather Derivatives
  by Sean D. Campbell & Francis X. Diebold [Downloadable!]
• 2004/09 Forecasting the Term Structure of Government Bond Yields
  by Francis X. Diebold & Canlin Li [Downloadable!]
• 2004/08 Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
  by Peter F. Christoffersen & Francis X. Diebold [Downloadable!]
• 2004/07 A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
  by Michael W. Brandt & Francis X. Diebold [Downloadable!]
• 2004/04 Ramsey Monetary Policy and International Relative Prices
  by Ester Faia & Tommaso Monacelli [Downloadable!]

• 2004/06 The Determinants of Debt and (Private-) Equity Financing in Young Innovative SMEs: Evidence from Germany
  by Dorothea Schäfer & Axel Werwatz & Volker Zimmermann [Downloadable!]
• 2003/45 Nominal Exchange Rate Regimes and Relative Price Dispersion: On the Importance of Nominal Exchange Rate Volatility for the Width of the Border
  by Guenter W. Beck [Downloadable!]
• 2003/44 Bayesian Fan Charts for U.K. Inflation: Forecasting and Sources of Uncertainty in an Evolving Monetary System
  by Timothy Cogley & Sergei Morozov & Thomas J. Sargent [Downloadable!]
• 2003/42 The Role of Expectations in Economic Fluctuations and the Efficacy of Monetary Policy
  by Mordecai Kurz (contact author) & Hehui Jin & Maurizio Motolese [Downloadable!]
• 2003/41 Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information
  by Sharon Kozicki & P.A. Tinsley [Downloadable!]
• 2003/40 Imperfect Knowledge, Inflation Expectations, and Monetary Policy
  by Athanasios Orphanides & John C. Williams [Downloadable!]
• 2003/39 Performance of Inflation Targeting Based On Constant Interest Rate Projections
  by Seppo Honkapohja & Kaushik Mitra [Downloadable!]
• 2003/38 Escapist Policy Rules
  by James Bullard, & In-Koo Cho [Downloadable!]
• 2003/37 Monetary Policy, Indeterminacy and Learning
  by George W. Evans & Bruce McGough [Downloadable!]
• 2003/36 Corporate Governance in Germany: An Economic Perspective
  by Reinhard H. Schmidt [Downloadable!]
• 2003/35 Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
  by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, [Downloadable!]
• 2003/34 Courts and Sovereign Eurobonds: Credibility of the Judicial Enforcement of Repayment
  by Issam Hallak [Downloadable!]
• 2003/33 Bank Loans Non-Linear Structure of Pricing: Empirical Evidence from Sovereign Debts
  by Issam Hallak [Downloadable!]
• 2003/32 Evaluating VaR Forecasts under Stress – The German Experience
  by Stefan Jaschke & Gerhard Stahl & Richard Stehle [Downloadable!]
• 2003/31 The Macroeconomy and the Yield Curve: A Nonstructural Analysis
  by Francis X. Diebold, & Glenn D. Rudebusch & S. Boragan Aruoba [Downloadable!]
• 2003/30 Inflation convergence after the introduction of the Euro
  by Markus Mentz, & Steffen P. Sebastian [Downloadable!]
• 2003/28 Mergers and Acquisitions in Germany - Social Setting and Regulatory Framework
  by Frank A. Schmid & Mark Wahrenburg [Downloadable!]
• 2003/27 German banks – a declining industry?
  by Andreas Hackethal [Downloadable!]
• 2003/26 Initial Public Offerings and Venture Capital in Germany
  by Stefanie Franzke (Contact), Stefanie Grohs, Christian Laux [Downloadable!]
• 2003/25 The Role of the Value Added by the Venture Capitalists in Timing and Extent of IPOs
  by Tereza Tykvová [Downloadable!]
• 2003/23 A Critique on the Proposed Use of External Sovereign Credit Ratings in Basel II
  by Roman Kraeussl [Downloadable!]
• 2003/22 Do Changes in Sovereign Credit Ratings Contribute to Financial Contagion in Emerging Market Crises?
  by Roman Kraeussl [Downloadable!]
• 2003/20 Universal Banks and Relationships with Firms
  by Ralf Elsas & Jan Pieter Krahnen [Downloadable!]
• 2003/19 Regulation and Competition in German Banking: An Assessment
  by Karl-Hermann Fischer / Christian Pfeil [Downloadable!]
• 2003/18 Do Credit Rating Agencies Add to the Dynamics of Emerging Market Crises?
  by Roman Kraeussl [Downloadable!]
• 2003/17 Organized Equity Markets in Germany
  by Erik Theissen [Downloadable!]
• 2003/16 The Role of Accounting in the German Financial System
  by Christian Leuz & Jens Wüstemann [Downloadable!]
• 2003/15 Contractual Relations between European VC–Funds and Investors: The Impact of Reputation and Bargaining Power on Contractual Design
  by Daniel Schmidt & Mark Wahrenburg [Downloadable!]
• 2003/14 Institutional Investors in Germany: Insurance Companies and Investment Funds
  by Raimond Maurer [Downloadable!]
• 2003/13 Price Stability and Monetary Policy Effectiveness when Nominal Interest Rates are Bounded at Zero
  by Guenter Coenen & Athanasios Orphanides & Volker Wieland [Downloadable!]
• 2003/12 Optimal Monetary Policy with Imperfect Common Knowledge
  by Klaus Adam [Downloadable!]
• 2003/11 Heterogeneous Expectations in the Foreign Exchange Market Evidence from the Daily Dollar/DM Exchange Rate
  by Ralf Ahrens & Stefan Reitz [Downloadable!]
• 2003/10 Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists
  by Stefan Reitz & Frank Westerhoff [Downloadable!]
• 2003/09 The Zero-Interest-Rate and the Role of the Exchange Rate for Monetary Policy in Japan
  by Guenter Coenen & Volker Wieland [Downloadable!]
• 2003/08 A Small Estimated Euro Area Model with Rational Expectations and Nominal Rigidities
  by Guenter Coenen & Volker Wieland [Downloadable!]
• 2003/07 Data Uncertainty and the Role of Money as an Information Variable for Monetary Policy
  by Guenter Coenen & Andrew Levin & Volker Wieland [Downloadable!]
• 2003/06 The Performance of Forecast-Based Monetary Policy Rules under Model Uncertainty
  by Andrew Levin & Volker Wieland & John C. Williams [Downloadable!]
• 2003/05 Monetary Policy and Uncertainty about the Natural Unemployment Rate
  by Volker Wieland [Downloadable!]
• 2003/04 Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
  by Stefan Mittnik & Marc S. Paolella [Downloadable!]
• 2003/03 Learning and Equilibrium Selection in a Monetary Overlapping Generations Model with Sticky Prices
  by Klaus Adam [Downloadable!]
• 2003/02 On the Relation between Robust and Bayesian Decision Making
  by Klaus Adam [Downloadable!]
• 2003/01 Learning to Forecast and Cyclical Behavior of Output and Inflation
  by Klaus Adam [Downloadable!]

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This page was last updated on 2008-4-25.