Sonderforschungsbereich 649, Humboldt University, Berlin, Germany
SFB 649 Discussion Papers
Contact information of Sonderforschungsbereich 649, Humboldt University, Berlin, Germany:
Postal: Spandauer Str. 1,10178 Berlin
Phone: +49-30-2093-5708
Fax: +49-30-2093-5617
Email:
Web page: http://sfb649.wiwi.hu-berlin.de
More information through EDIRC
For corrections or technical questions regarding this series, please contact
(RDC-Team)
Series handle: repec:hum:wpaper
Citations RSS feed: at CitEc
Impact factors:
Simple,
Recursive,
Discounted,
Recursive discounted,
H-Index,
Aggregate
Access and download statistics
Top item: By citations. By downloads (last 12 months).
More pages of listings: 0| 1| 2
2013
- SFB649DP2013-031 Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - SFB649DP2013-030 Although there is an increasing interest in index-based insurances in many developing countries, crop data scarcity hinders its implementation by forcing insurers to charge higher premiums. Expert knowledge has been considered a valuable information source to augment limited data in insurance pricing. This article investigates whether the use of expert knowledge can mitigate model risk which arises from insufficient statistical data. We adopt the Bayesian framework that allows for the combination of scarce data and expert knowledge, to estimate the risk parameter and buffer load. In addition, a benchmark for the evaluation of expert information is created by using a richer dataset generated from resampling. We find that expert knowledge reduces the parameter uncertainty and changes the insurance premium in the correct direction, but that the effect of the correction is sensitive to different strike levels of insurance indemnity
by Zhiwei Shen & Martin Odening & Ostap Okhrin - SFB649DP2013-029 Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
by Markus Bibinger & Mathias Vetter - SFB649DP2013-028 Analysis of Deviance in Generalized Partial Linear Models
by Wolgang Karl Härdle & Li-Shan Huang - SFB649DP2013-027 Bank Lending Relationships and the Use of Performance-Sensitive Debt
by Tim R. Adam & Daniel Streitz - SFB649DP2013-026 State Price Densities implied from weather derivatives
by Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng - SFB649DP2013-025 The ‘Celtic Crisis’: Guarantees, transparency, and systemic liquidity risk
by Philipp König & Kartik Anand & Frank Heinemann - SFB649DP2013-024 Pruning in Perturbation DSGE Models - Guidance from Nonlinear Moving Average Approximations
by Hong Lan & Alexander Meyer-Gohde - SFB649DP2013-023 Reference Dependent Preferences and the EPK Puzzle
by Maria Grith & Wolfgang Karl Härdle & Volker Krätschmer - SFB649DP2013-022 Decomposing Risk in Dynamic Stochastic General Equilibrium
by Hong Lan & Alexander Meyer-Gohde - SFB649DP2013-021 Econometrics of co-jumps in high-frequency data with noise
by Markus Bibinger & Lars Winkelmann - SFB649DP2013-020 Disaster Risk in a New Keynesian Model
by Maren Brede - SFB649DP2013-019 The European Debt Crisis: How did we get into this mess? How can we get out of it?
by Michael C. Burda - SFB649DP2013-018 Fair re-valuation of wine as an investment
by Fabian Y.R.P. Bocart & Christian M. Hafner - SFB649DP2013-017 Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
by Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss - SFB649DP2013-016 Quantitative forward guidance and the predictability of monetary policy - A wavelet based jump detection approach -
by Lars Winkelmann - SFB649DP2013-015 Cyclical Variation in Labor Hours and Productivity Using the ATUS
by Michael C. Burda & Daniel S. Hamermesh & Jay Stewart - SFB649DP2013-014 Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
by Nikolaus Hautsch & Lada M. Kyj & Peter Malec - SFB649DP2013-013 A Transfer Mechanism for a Monetary Union
by Philipp Engler & Simon Voigts - SFB649DP2013-012 Are There Bubbles in the Sterling-dollar Exchange Rate? New Evidence from Sequential ADF Tests
by Timo Bettendorf & Wenjuan Chen - SFB649DP2013-011 The Real Consequences of Financial Stress
by Stefan Mittnik & Willi Semmler - SFB649DP2013-010 Composite Quantile Regression for the Single-Index Model
by Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu - SFB649DP2013-009 ‘I'll do it by myself as I knew it all along’: On the failure of hindsight-biased principals to delegate optimally
by David Danz & Frank Hüber & Dorothea Kübler & Lydia Mechtenberg & Julia Schmid - SFB649DP2013-008 Forecasting systemic impact in financial networks
by Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle - SFB649DP2013-007 Crossing Network versus Dealer Market: Unique Equilibrium in the Allocation of Order Flow
by Jutta Dönges & Frank Heinemann & Tijmen R. Daniëls - SFB649DP2013-006 Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing
by Markus Bibinger & Per A. Mykland - SFB649DP2013-005 Pricing Rainfall Derivatives at the CME
by Brenda López Cabrera & Martin Odening & Matthias Ritter - SFB649DP2013-004 Preference for Randomization: Empirical and Experimental Evidence
by Nadja Dwenger & Dorothea Kübler & Georg Weizsäcker - SFB649DP2013-003 Empirical Research on Corporate Credit-Ratings: A Literature Review
by Alexander B. Matthies - SFB649DP2013-002 Statistical properties and stability of ratings in a subset of US firms
by Alexander B. Matthies - SFB649DP2013-001 Functional Data Analysis of Generalized Quantile Regressions
by Mengmeng Guo & Lhan Zhou & Jianhua Z. Huang & Wolfgang Karl Härdle
2012
- SFB649DP2012-067 Can the market forecast the weather better than meteorologists?
by Matthias Ritter - SFB649DP2012-066 Implied Basket Correlation Dynamics
by Wolfgang Karl Härdle & Elena Silyakova - SFB649DP2012-065 Covered bonds, core markets, and financial stability
by Kartik Anand & James Chapman & Prasanna Gai - SFB649DP2012-064 Measuring the impact of critical incidents on brand personality
by Sven Tischer - SFB649DP2012-063 Common factors in credit defaults swaps markets
by Yi-Hsuan Chen & Wolfgang Karl Härdle - SFB649DP2012-062 Brand equity – how is it affected by critical incidents and what moderates the effect
by Sven Tischer & Lutz Hildebrandt - SFB649DP2012-061 Variable selection in Cox regression models with varying coefficients
by Toshio Honda & Wolfgang Karl Härdle - SFB649DP2012-060 Modelling general dependence between commodity forward curves
by Mikhail Zolotko & Ostap Okhrin - SFB649DP2012-059 Cartelization Through Buyer Groups
by Chris Doyle & Martijn A. Han - SFB649DP2012-058 Private and Public Control of Management
by Charles Angelucci & Martijn A. Han - SFB649DP2012-056 Strategic Delegation Improves Cartel Stability
by Martijn A. Han - SFB649DP2012-055 Consumer Standards as a Strategic Device to Mitigate Ratchet Effects in Dynamic Regulation
by Raffaele Fiocco & Roland Strausz - SFB649DP2012-054 Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series
by Nikolaus Hautsch & Julia Schuamburg & Melanie Schienle - SFB649DP2012-053 Financial Network Systemic Risk Contributions
by Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle - SFB649DP2012-052 Rethinking stock market integration: Globalization, valuation and convergence
by Pui Sun Tam & Pui I Tam - SFB649DP2012-050 Do Natural Resource Sectors Rely Less on External Finance than Manufacturing Sectors?
by Christian Hattendorff - SFB649DP2012-049 Simultaneous test procedures in terms of p-value copulae
by Thorsten Dickhaus & Jakob Gierl - SFB649DP2012-048 Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics
by Wolfgang Karl Härdle,Piotr Majer & Melanie Schienle - SFB649DP2012-047 Nonparametric Kernel Density Estimation Near the Boundary
by Peter Malec & Melanie Schienle - SFB649DP2012-046 We estimate linear functionals in the classical deconvolution problem by kernel estimators
by Jakob Söhl & Mathias Trabs - SFB649DP2012-045 Additive Models: Extensions and Related Models
by Enno Mammen & Byeong U. Park & Melanie Schienle - SFB649DP2012-044 Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes
by Taras Bodnar & Nikolaus Hautsch - SFB649DP2012-043 The Signal of Volatility
by Till Strohsal & Enzo Weber - SFB649DP2012-042 Generated Covariates in Nonparametric Estimation: A Short Review
by Enno Mammen & Christoph Rothe & Melanie Schienle - SFB649DP2012-040 Location, location, location: Extracting location value from house prices
by Jens Kolbe & Rainer Schulz & Martin Wersing & Axel Werwatz - SFB649DP2012-039 Volatility of price indices for heterogeneous goods
by Fabian Y.R.P. Bocart & Christian M. Hafner - SFB649DP2012-038 The Aging Investor: Insights from Neuroeconomics
by Peter N. C. Mohr & Hauke R. Heekeren - SFB649DP2012-037 Do Japanese Stock Prices Reflect Macro Fundamentals?
by Wenjuan Chen & Anton Velinov - SFB649DP2012-036 Hierarchical Archimedean Copulae: The HAC Package
by Ostap Okhrin & Alexander Ristig - SFB649DP2012-035 Correlated Trades and Herd Behavior in the Stock Market
by Simon Jurkatis & Stephanie Kremer & Dieter Nautz - SFB649DP2012-034 Realized Copula
by Matthias R. Fengler & Ostap Okhrin - SFB649DP2012-033 Simultaneous Statistical Inference in Dynamic Factor Models
by Thorsten Dickhaus - SFB649DP2012-031 Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
by Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci - SFB649DP2012-030 Support Vector Machines with Evolutionary Feature Selection for Default Prediction
by Wolfgang Karl Härdle & Dedy Dwi Prastyo & Christian Hafner - SFB649DP2012-029 Statistical Modelling of Temperature Risk
by Zografia Anastasiadou & BrendaLópez-Cabrera - SFB649DP2012-028 Does umbrella branding really work? Investigating cross-category brand loyalty
by Nadja Silberhorn & Lutz Hildebrandt - SFB649DP2012-027 Forecast based Pricing of Weather Derivatives
by Wolfgang Karl Härdle & Brenda López-Cabrera & Matthias Ritter - SFB649DP2012-026 Explaining regional unemployment differences in Germany: a spatial panel data analysis
by Franziska Lottmann - SFB649DP2012-025 Is socially responsible investing just screening? Evidence from mutual funds
by Markus Hirschberger & Ralph E. Steuer & Sebastian Utz & Maximilian Wimmer - SFB649DP2012-024 Bye Bye, G.I. - The Impact of the U.S. Military Drawdown on Local German Labor Markets
by Jan Peter aus dem Moore & Alexandra Spitz-Oener - SFB649DP2012-023 Hidden Liquidity: Determinants and Impact
by Gökhan Cebiroglu & Ulrich Horst - SFB649DP2012-022 Assessing the Anchoring of Inflation Expectations
by Till Strohsal & Lars Winkelmann - SFB649DP2012-021 A Strategy Perspective on the Performance Relevance of the CFO
by Andreas Venus & Andreas Engelen - SFB649DP2012-020 A Slab in the Face: Building Quality and Neighborhood Effects
by Rainer Schulz & Martin Wersing - SFB649DP2012-019 Why Do Firms Engage in Selective Hedging?
by Tim R. Adam & Chitru S. Fernando & Jesus M. Salas - SFB649DP2012-018 Managerial Overconfidence and Corporate Risk Management
by Tim R. Adam & Chitru S. Fernando & Evgenia Golubeva - SFB649DP2012-017 Option calibration of exponential Lévy models: Implementation and empirical results
by Jacob Söhl & Mathias Trabs - SFB649DP2012-016 Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes
by Johanna Kappus - SFB649DP2012-015 Existence and Uniqueness of Perturbation Solutions to DSGE Models
by Hong Lan & Alexander Meyer-Gohde - SFB649DP2012-014 On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements
by Nikolaus Hautsch & Ruihong Huang - SFB649DP2012-013 The Polarization of Employment in German Local Labor Markets
by Charlotte Senftleben & Hanna Wielandt - SFB649DP2012-012 Confidence sets in nonparametric calibration of exponential Lévy models
by Jakob Söhl - SFB649DP2012-011 Intended and unintended consequences of mandatory IFRS adoption: A review of extant evidence and suggestions for future research
by Ulf Brüggemann & Jörg-Markus Hitz & Thorsten Sellhorn - SFB649DP2012-010 Fair Value Reclassifications of Financial Assets during the Financial Crisis
by Jannis Bischof & Ulf Brüggemann & Holger Daske - SFB649DP2012-009 Comparability Effects of Mandatory IFRS Adoption
by Stefano Cascino & Joachim Gassen - SFB649DP2012-008 Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?
by Ralf Sabiwalsky - SFB649DP2012-007 Total Work and Gender: Facts and Possible Explanations
by Michael Burda & Daniel S. Hamermesh & Philippe Weil - SFB649DP2012-006 Quantile Regression in Risk Calibration
by Shih-Kang Chao & Wolfgang Karl Härdle & Weining Wang - SFB649DP2012-005 Implementing quotas in university admissions: An experimental analysis
by Sebastian Braun & Nadja Dwenger & Dorothea Kübler & Alexander Westkamp - SFB649DP2012-004 Computational Statistics (Journal)
by Wolfgang Karl Härdle & Yuichi Mori & Jürgen Symanzik - SFB649DP2012-003 A Donsker Theorem for Lévy Measures
by Richard Nickl & Markus Reiß - SFB649DP2012-002 Dynamic Activity Analysis Model Based Win-Win Development Forecasting Under the Environmental Regulation in China
by Shiyi Chen & Wolfgang Karl Härdle - SFB649DP2012-001 HMM in dynamic HAC models
by Wolfgang Karl Härdle & Ostap Okhrin & Weining Wang
2011
- SFB649DP2011-087 Solving DSGE Models with a Nonlinear Moving Average
by Hong Lan & Alexander Meyer-Gohde - SFB649DP2011-086 Spectral estimation of covolatility from noisy observations using local weights
by Markus Bibinger & Markus Reiß - SFB649DP2011-085 Risk Patterns and Correlated Brain Activities. Multidimensional statistical analysis of fMRI data with application to risk patterns
by Alena Myšičková & Song Song & Piotr Majer & Peter N.C. Mohr & Hauke R. Heekeren & Wolfgang K. Härdle - SFB649DP2011-084 Competition and regulation in a differentiated good market
by Raffaele Fiocco - SFB649DP2011-083 Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences
by Patrick Cheridito & Ulrich Horst & Michael Kupper & Traian A. Pirvu - SFB649DP2011-082 Continuous Equilibrium under Base Preferences and Attainable Initial Endowments
by Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger - SFB649DP2011-081 Parametric estimation. Finite sample theory
by Vladimir Spokoiny - SFB649DP2011-080 Sparse Non Gaussian Component Analysis by Semidefinite Programming
by Elmar Diederichs & Anatoli Juditsky & Arkadi Nemirovski & Vladimir Spokoiny - SFB649DP2011-079 Martingale approach in pricing and hedging European options under regime-switching
by Grigori N. Milstein & Vladimir Spokoiny - SFB649DP2011-078 Spatially Adaptive Density Estimation by Localised Haar Projections
by Florian Gach & Richard Nickl & Vladimir Spokoiny - SFB649DP2011-077 Increasing Weather Risk: Fact or Fiction?
by Weining Wang & Ihtiyor Bobojonov & Wolfgang Karl Härdle & Martin Odening - SFB649DP2011-075 Changes in Occupational Demand Structure and their Impact on Individual Wages
by Alexandra Fedorets - SFB649DP2011-074 Time-Varying Occupational Contents: An Additional Link between Occupational Task Profiles and Individual Wages
by Alexandra Fedorets - SFB649DP2011-073 Calibration of selfdecomposable Lévy models
by Mathias Trabs - SFB649DP2011-072 Financial Network Systemic Risk Contributions
by Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle - SFB649DP2011-071 Econometric analysis of volatile art markets
by Fabian Y. R. P. Bocart & Christian M. Hafner - SFB649DP2011-070 The Power of Sunspots: An Experimental Analysis
by Dietmar Fehr & Frank Heinemann & Aniol Llorente-Saguer - SFB649DP2011-069 The Labor Share: A Review of Theory and Evidence
by Dorothee Schneider - SFB649DP2011-068 Bargaining, Openness, and the Labor Share
by Dorothee Schneider - SFB649DP2011-067 Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators
by Gregor Heyne & Michael Kupper & Christoph Mainberger - SFB649DP2011-066 Monitoring, Information Technology and the Labor Share
by Dorothee Schneider - SFB649DP2011-065 Linking corporate reputation and shareholder value using the publication of reputation rankings
by Sven Tischer & Lutz Hildebrandt - SFB649DP2011-064 Semiparametric Estimation with Generated Covariates
by Enno Mammen & Christoph Rothe & Melanie Schienle - SFB649DP2011-063 Multivariate Volatility Modeling of Electricity Futures
by Luc Bauwens & Christian M. Hafner & Diane Pierret - SFB649DP2011-062 On heterogeneous latent class models with applications to the analysis of rating scores
by Aurélie Bertrand & Christian M. Hafner - SFB649DP2011-061 Forward-backward systems for expected utility maximization
by Ulrich Horst & Ying Hu & Peter Imkeller & Anthony Reveillac - SFB649DP2011-060 On the Continuation of the Great Moderation:New evidence from G7 Countries
by Wenjuan Chen - SFB649DP2011-059 The Merit of High-Frequency Data in Portfolio Allocation
by Nikolaus Hautsch & Lada M. Kyj & Peter Malec - SFB649DP2011-058 Optimal liquidation in dark pools
by Gökhan Cebiro˜glu & Ulrich Horst - SFB649DP2011-057 We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US S&P500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60%
by Gökhan Cebiro˜glu & Ulrich Horst - SFB649DP2011-056 Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data
by Nikolaus Hautsch & Ruihong Huang - SFB649DP2011-055 Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives
by Wolfgang Härdle & Maria Osipenko - SFB649DP2011-054 TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data
by Ray-Bing Chen & Ying Chen & Wolfgang Härdle - SFB649DP2011-053 When to Cross the Spread: Curve Following with Singular Control
by Felix Naujokat & Ulrich Horst - SFB649DP2011-052 Rollover risk, network structure and systemic financial crises
by Kartik Anand & Prasanna Gai & Matteo Marsili - SFB649DP2011-051 A Network Model of Financial System Resilience
by Kartik Anand & Prasanna Gai & Sujit Kapadia & Simon Brennan & Matthew Willison - SFB649DP2011-050 The impact of context and promotion on consumer responses and preferences in out-of-stock situations
by Nicole Wiebach & Jana L. Diels - SFB649DP2011-049 Monetary Policy, Determinacy, and the Natural Rate Hypothesis
by Alexander Meyer-Gohde - SFB649DP2011-048 Large Vector Auto Regressions
by Song Song & Peter J. Bickel - SFB649DP2011-047 Bargaining and Collusion in a Regulatory Model
by Raffaele Fiocco & Mario Gilli - SFB649DP2011-046 The Regulation of Interdependent Markets
by Raffaele Fiocco & Carlo Scarpa - SFB649DP2011-045 Bayesian Networks and Sex-related Homicides
by Stephan Stahlschmidt & Helmut Tausendteufel & Wolfgang K. Härdle - SFB649DP2011-044 Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models
by Axel Groß-Klußmann & Nikolaus Hautsch - SFB649DP2011-043 CRRA Utility Maximization under Risk Constraints
by Santiago Moreno-Bromberg & Traian A. Pirvu & Anthony Réveillac - SFB649DP2011-042 Pollution permits, Strategic Trading and Dynamic Technology Adoption
by Santiago Moreno-Bromberg & Luca Taschini - SFB649DP2011-041 The Basel III framework for liquidity standards and monetary policy implementation
by Ulrich Bindseil & Jeroen Lamoot - SFB649DP2011-040 News-driven Business Cycles in SVARs
by Patrick Bunk - SFB649DP2011-039 The Persistence of "Bad" Precedents and the Need for Communication: A Coordination Experiment
by Dietmar Fehr - SFB649DP2011-036 An Indicator for National Systems of Innovation - Methodology and Application to 17 Industrialized Countries
by Heike Belitz & Marius Clemens & Christian von Hirschhausen & Jens Schmidt-Ehmcke & Axel Werwatz & Petra Zloczysti - SFB649DP2011-035 The economics of TARGET2 balances
by Ulrich Bindseil & Philipp Johann König - SFB649DP2011-034 An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
by Markus Bibinger - SFB649DP2011-033 Asymptotics of Asynchronicity
by Markus Bibinger - SFB649DP2011-032 The information content of central bank interest rate projections: Evidence from New Zealand
by Gunda-Alexandra Detmers & Dieter Nautz - SFB649DP2011-031 What Explains the German Labor Market Miracle in the Great Recession?
by Michael C. Burda & Jennifer Hunt - SFB649DP2011-030 Developing web-based tools for the teaching of statistics: Our Wikis and the German Wikipedia
by Sigbert Klinke - SFB649DP2011-029 Pointwise adaptive estimation for quantile regression
by Markus Reiß & Yves Rozenholc & Charles A. Cuenod - SFB649DP2011-028 Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
by Markus Reiß - SFB649DP2011-027 Estimation of the characteristics of a Lévy process observed at arbitrary frequency
by Johanna Kappus & Markus Reiß - SFB649DP2011-026 Compensation of Unusual Working Schedules
by Juliane Scheffel - SFB649DP2011-025 How do Unusual Working Schedules Affect Social Life?
by Juliane Scheffel - SFB649DP2011-024 Identifying the Effect of Temporal Work Flexibility on Parental Time with Children
by Juliane Scheffel - SFB649DP2011-023 Forecasting Corporate Distress in the Asian and Pacific Region
by Russ Moro & Wolfgang Härdle & Saeideh Aliakbari & Linda Hoffmann - SFB649DP2011-022 Extreme value models in a conditional duration intensity framework
by Rodrigo Herrera & Bernhard Schipp - SFB649DP2011-021 Customer Reactions in Out-of-Stock Situations – Do promotion-induced phantom positions alleviate the similarity substitution hypothesis?
by Jana Luisa Diels & Nicole Wiebach - SFB649DP2011-020 How Computational Statistics Became the Backbone of Modern Data Science
by James E. Gentle & Wolfgang Karl Härdle & Yuichi Mori - SFB649DP2011-019 What Drives the Relationship Between Inflation and Price Dispersion? Market Power vs. Price Rigidity
by Sascha S. Becker - SFB649DP2011-018 Can crop yield risk be globally diversified?
by Xiaoliang Liu & Wei Xu & Martin Odening - SFB649DP2011-017 The Law of Attraction: Bilateral Search and Horizontal Heterogeneity
by Dirk Hofmann & Salmai Qari - SFB649DP2011-016 Oracally Efficient Two-Step Estimation of Generalized Additive Model
by Rong Liu & Lijian Yang & Wolfgang Karl Härdle - SFB649DP2011-015 Short-Term Herding of Institutional Traders: New Evidence from the German Stock Market
by Stephanie Kremer & Dieter Nautz - SFB649DP2011-014 Difference based Ridge and Liu type Estimators in Semiparametric Regression Models
by Esra Akdeniz Duran & Wolfgang Karl Härdle & Maria Osipenko - SFB649DP2011-013 Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity
by Wolfgang Karl Härdle & Maria Osipenko - SFB649DP2011-012 A strategic mediator who is biased into the same direction as the expert can improve information transmission
by Lydia Mechtenberg & Johannes Münster - SFB649DP2011-011 Human Capital Formation on Skill-Specific Labor Markets
by Runli Xie - SFB649DP2011-010 Unwillingness to Pay for Privacy: A Field Experiment
by Alastair R. Beresford & Dorothea Kübler & Sören Preibusch - SFB649DP2011-009 Exclusion in the All-Pay Auction: An Experimental Investigation
by Dietmar Fehr & Julia Schmid - SFB649DP2011-008 Monetary Policy, Trend Inflation and Inflation Persistence
by Fang Yao - SFB649DP2011-007 Mean-Variance Cointegration and the Expectations Hypothesis
by Till Strohsal & Enzo Weber - SFB649DP2011-006 Sticky Information and Determinacy
by Alexander Meyer-Gohde - SFB649DP2011-005 Local Quantile Regression
by Wolfgang Karl Härdle & Vladimir Spokoiny & Weining Wang - SFB649DP2011-004 A Confidence Corridor for Expectile Functions
by Esra Akdeniz Duran & Mengmeng Guo & Wolfgang Karl Härdle - SFB649DP2011-003 Mean Volatility Regressions
by Lu Lin & Feng Li & Lixing Zhu & Wolfgang Karl Härdle - SFB649DP2011-002 A Confidence Corridor for Sparse Longitudinal Data Curves
by Shuzhuan Zheng & Lijian Yang & Wolfgang Karl Härdle - SFB649DP2011-001 Localising temperature risk
by Wolfgang Karl Härdle & Brenda López Cabrera & Ostap Okhrin & Weining Wang
2010
- SFB649DP2010-062 The Norges Bank’s key rate projections and the news element of monetary policy: a wavelet based jump detection approach
by Lars Winkelmann - SFB649DP2010-061 Every Symmetric 3 x 3 Global Game of Strategic Complementarities Is Noise Independent
by Christian Basteck & Tijmen R. Daniëls - SFB649DP2010-060 Communal Responsibility and the Coexistence of Money and Credit Under Anonymous Matching
by Lars Boerner & Albrecht Ritschl - SFB649DP2010-059 Nonparametric Regression with Nonparametrically Generated Covariates
by Enno Mammen & Christoph Rothe & Melanie Schienle - SFB649DP2010-058 Inflation, Price Dispersion and Market Integration through the Lens of a Monetary Search Model
by Sascha S. Becker & Dieter Nautz - SFB649DP2010-057 Consumption Growth and Volatility with Consumption Externalities
by Runli Xie - SFB649DP2010-056 Context Effects as Customer Reaction on Delisting of Brands
by Nicole Wiebach & Lutz Hildebrandt - SFB649DP2010-055 Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
by Nikolaus Hautsch & Peter Malec & Melanie Schienle - SFB649DP2010-054 Spatial Dependencies in German Matching Functions
by Franziska Schulze - SFB649DP2010-053 Systemic Weather Risk and Crop Insurance: The Case of China
by Wei Xu & Ostap Okhrin & Martin Odening & Ji Cao - SFB649DP2010-052 Central limit theorems for law-invariant coherent risk measures
by Denis Belomestny & Volker Krätschmer - SFB649DP2010-051 Executive Compensation Regulation and the Dynamics of the Pay-Performance Sensitivity
by Ralf Sabiwalsky - SFB649DP2010-050 Estimation of the signal subspace without estimation of the inverse covariance matrix
by Vladimir Panov - SFB649DP2010-049 Models for Heavy-tailed Asset Returns
by Szymon Borak & Adam Misiorek & Rafał Weron - SFB649DP2010-047 FX Smile in the Heston Model
by Agnieszka Janek & Tino Kluge & Rafał Weron & Uwe Wystup - SFB649DP2010-046 Mandatory IFRS adoption and accounting comparability
by Stefano Cascino & Joachim Gassen - SFB649DP2010-045 Parametric estimation of risk neutral density functions
by Maria Grith & Volker Krätschmer - SFB649DP2010-044 The High Sensitivity of Employment to Agency Costs: The Relevance of Wage Rigidity
by Atanas Hristov - SFB649DP2010-043 Meteorological forecasts and the pricing of weather derivatives
by Matthias Ritter & Oliver Mußhoff & Martin Odening - SFB649DP2010-042 Payroll Taxes, Social Insurance and Business Cycles
by Michael C. Burda & Mark Weder - SFB649DP2010-041 Prognose mit nichtparametrischen Verfahren
by Wolfgang Karl Härdle & Rainer Schulz & Weining Wang - SFB649DP2010-040 Stochastic Mortality, Subjective Survival Expectations, and Individual Saving Behavior
by Thomas Post & Katja Hanewald