Center of Finance and Econometrics, University of Konstanz
CoFE Discussion Paper
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2008
- 08-11 Importance sampling for backward SDEs
by Thilo Moseler & Christian Bender - 08-10 Filtered Log-periodogram Regression of long memory processes
by Jan Beran & Yuanhua Feng - 08-09 Recovering Delisting Returns of Hedge Funds
by Jens Carsten Jackwerth & James E. Hodder & Olga Kolokolova - 08-08 Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
by Jens Carsten Jackwerth & George M. Constantinides & Michal Czerwonko & Stylianos Perrakis - 08-07 Managerial Responses to Incentives: Control of Firm Risk, Derivative Pricing Implications, and Outside Wealth Management
by Jens Carsten Jackwerth & James E. Hodder - 08-06 Modelling and Forecasting Multivariate Realized Volatility
by Roxana Chiriac & Valeri Voev - 08-05 A Boltzmann-type Approach to the Formation of Wealth Distribution Curves
by Bertram Düring & Daniel Matthes & Giuseppe Toscani - 08-04 Asset Pricing Under Information with Stochastic Volatility
by Bertram Düring - 08-03 Kinetic Equations modelling Wealth Redistribution: A comparison of Approaches
by Bertram Düring & Daniel Matthes & Giuseppe Toscani - 08-02 International and Domestic Trading and Wealth Distribution
by Bertram Düring & Giuseppe Toscani - 08-01 A nonparametric regression cross spectrum for multivariate time series
by Jan Beran & Mark A. Heiler
2007
- 07-15 Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors
by Yuanhua Feng & Jan Beran - 07-14 Modelling financial time series with SEMIFAR-GARCH model
by Yuanhua Feng & Jan Beran & Keming Yu - 07-13 On parameter estimation for locally stationary long-memory processes
by Jan Beran - 07-12 Estimation of a nonparametric regression spectrum for multivariate time series
by Jan Beran & Mark A. Heiler - 07-11 Non-Market Wealth, Background Risk and Portfolio Choice
by Günter Franke & Harris Schlesinger & Richard Stapleton - 07-10 Information asymmetries and securitization design
by Günter Franke & Markus Herrmann & Thomas Weber - 07-08 Two-Dimensional Risk-Neutral Valuation Relationships for the Pricing of Options
by Günter Franke & James Huang & Richard Stapleton - 07-07 Estimating High-Frequency Based (Co-) Variances: A Unified Approach
by Ingmar Nolte & Valeri Voev - 07-06 Hydrodynamics from kinetic models of conservative economies
by B. Düring & G. Toscani - 07-05 Dual Income Taxation as a Stepping Stone Towards a European Corporate Income Tax
by Bernd Genser & Dirk Schindler - 07-04 An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics
by Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier - 07-03 Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform
by Ingmar Nolte & Sandra Lechner - 07-02 Panel Intensity Models with Latent Factors: An Application to the Trading Dynamics on the Foreign Exchange Market¤
by Ingmar Nolte & Valeri Voev - 07-01 Dynamic Modeling of Large Dimensional Covariance Matrices
by Valeri Voev - 07-07 Securitisation of Mezzanine Capital in Germany
by Günter Franke & Julia Hein
2006
- 06-09 Wieweit tragen rationale Modelle in der Finanzmarktforschung?
by Günter Franke & Thomas Weber - 06-08 Wie werden Collateralized Debt Obligation-Transaktionen gestaltet?
by Günter Franke & Thomas Weber - 06-07 Anforderungen in Zeiten eines beschleunigten „industriellen“ Strukturwandels: Integrierte Finanzwertschöpfung
by Günter Franke - 06-06 A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics
by Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier - 06-05 Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model¤
by Günter Franke & Erik Lüders - 06-04 Estimating Liquidity Using Information on the Multivariate Trading Process
by Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier - 06-03 A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreadson the NYSE
by Valeri Voev - 06-02 A Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing
by Bertram Düring & Ansgar Jüngel & S. Volkwein - 06-01 Company Tax Reform in Europe and its Effect on Collusive Behavior
by Dirk Schindler & Guttorm Schjelderup
2005
- 05-11 What Can We Expect From the New Trade of C02-Allowances?
by Günter Franke - 05-10 The dynamics of overconfidence: Evidence from stock market forecasters
by Richard Deaves & Erik Lüders & Michael Schröder - 05-09 Mispricing of S&P 500 Index Options
by Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis - 05-08 Incremental Risk Vulnerability
by Günter Franke & Richard C. Stapleton & Marti G. Subrahmanyam - 05-07 An Experimental Test of the Impact of Overconfidence and Gender on Trading Activity
by Richard Deaves & Erik Lüders & Guo Ying Luo - 05-06 Option Pricing: Real and Risk-Neutral Distributions
by Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis - 05-05 Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model
by Günter Franke & Erik Lüders - 05-04 Default risk sharing between banks and markets: the contribution of collateralized debt obligations
by Günter Franke & Jan Pieter Krahnen - 05-03 M&A Transaktionen: Fluch und Segen der Realoptionstheorie
by Günter Franke & Christian Hopp - 05-02 Incentive Contracts and Hedge Fund Management
by Jens Carsten Jackwerth & James E. Hodder - 05-01 Employee Stock Options: Much More Valuable Than You Thought
by Jens Carsten Jackwerth & James E. Hodder
2004
- 04-08 Transformation nicht-gehandelter in handelbare Kreditrisiken
by Günter Franke - 04-07 Präferenzfreie Strategien zum Absichern von Wechselkursrisiken
by Günter Franke - 04-06 Might a Securities Transactions Tax Mitigate Excess Volatility?: Some Evidence From the Literature
by Markus Haberer - 04-05 Why Do Asset Prices Not Follow Random Walks?
by Günter Franke & Erik Lüders - 04-04 Conditionally parametric fits for CAPM betas
by Klaus Abberger - 04-03 A simple graphical method to explore tail-dependence in stock-return pairs
by Klaus Abberger - 04-02 Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation
by Bertram Düring & Michel Fournié & Ansgar Jüngel - 04-01 A Quasilinear Parabolic Equation with Quadratic Growth of the Gradient modeling Incomplete Financial Markets
by Bertram Düring & Ansgar Jüngel
2003
- 03-11 Optimal Income Taxation with a Risky Asset – The Triple Income Tax
by Dirk Schindler - 03-10 Incentive Contracts and Hedge Fund Management: A Numerical Evaluation Procedure
by Jens Carsten Jackwerth & James E. Hodder - 03-09 Portfolio Choice and Transactions Taxes
by Markus Haberer - 03-08 Kapitalmarktverfassung, Managerentlohnung und Bilanzpolitik
by Günter Franke - 03-07 The Taxation of Financial Capital under Asymmetric Information and the Tax-Competition Paradox
by Wolfgang Eggert & Martin Kolmar - 03-06 Double Taxation, Tax Credits and the Information Exchange Puzzle
by Wolfgang Eggert - 03-05 Multiplicative Background Risk
by Günter Franke & Harris Schlesinger & Richard C. Stapleton - 03-04 Schätzung ökonometrischer Modelle auf der Grundlage anonymisierter Daten
by Winfried Pohlmeier & Sandra Lechner - 03-03 A Dynamic Integer Count Data Model for Financial Transaction Prices
by Winfried Pohlmeier & Roman Liesenfeld - 03-02 Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors kernel dependent function, bandwidth selection
by Yuanhua Feng - 03-01 Some Criticism of the Tobin Tax
by Markus Haberer
2002
- 02-18 Modelling Different Volatility Components in High-Frequency Financial Returns
by Yuanhua Feng - 02-17 Shall We Tax the Risk Premium?
by Dirk Schindler & Bodo Hilgers - 02-16 Besteuerung des Nichts — Steuerarbitrage und das schwindende Aufkommen bei Kapitaleinkommensteuern
by Dirk Schindler - 02-15 ML-Estimation in the Location-Scale-Shape Model of the Generalized Logistic Distribution
by Klaus Abberger - 02-14 Exploring local dependence
by Klaus Abberger - 02-13 Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors
by Jan Beran & Yuanhua.Feng - 02-12 Simultaneously Modelling Conditional Heteroskedasticity and Scale Change
by Yuanhua Feng - 02-11 Prediction of 0-1-events for short- and long-memory time series
by Jan Beran - 02-10 Pricing of cap-interest rates based on renewal processes
by Jan Beran & Dirk Ocker - 02-09 Smoothing ordered sparse contingency tables and the Chi-Squared test
by Klaus Abberger - 02-08 The impact of delivery risk on optimal production and futures hedging
by Axel F. A. Adam-Müller & Kit Pong Wong - 02-07 Restricted Export Flexibility and Risk Management with Options and Futures
by Axel F. A. Adam-Müller & Kit Pong Wong - 02-06 The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
by Nikolaus Hautsch & Dieter Hess - 02-05 Modelling Intraday Trading Activity Using Box-Cox-ACD Models
by Nikolaus Hautsch - 02-04 An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series
by Yuanhua Feng - 02-03 Variable data driven bandwidth choice in nonparametric quantile regression
by Klaus Abberger - 02-02 Kernel smoothed prediction intervals for ARMA models
by Klaus Abberger - 02-01 Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors
by Yuanhua Feng
2001
- 01-12 Supplement to the Paper "Interative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties": Detailed Simulation Results
by Jan Beran & Yuanhua.Feng - 01-11 Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties
by Jan Beran & Yuanhua.Feng - 01-10 Penalizing function based bandwidth choice in nonparametric quantile regression
by Klaus Abberger - 01-09 Ist eine duale Einkommensteuer einfacher und gerechter als eine umfassende Einkommensteuer?
by Bernd Genser - 01-08 Heterogeneity of Investors and Asset Pricing in a Risk-Value World
by Günter Franke & Martin Weber - 01-07 High order compact finite difference schemes for a nonlinear Black-Scholes equation
by Bertram Düring & Michel Fournié & Ansgar Jüngel - 01-06 What to Do if Dollar is Not a Dollar? The Impact of Inflation Risk on Production and Risk Management
by Axel F. A. Adam-Müller - 01-05 Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
by Nikolaus Hautsch & Winfried Pohlmeier - 01-04 Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions
by Nikolaus Hautsch & Stefan Klotz - 01-03 Accounting for Nonresponse Heterogeneity in Panel Data
by Joachim Inkmann - 01-02 Der "Bankenschlüssel": Zum eingeschränkten Vorsteuerabzug bei Finanzdienstleistungsunternehmen in Deutschland
by Carsten Schmidt - 01-01 Surprises in U.S. macroeconomic releases: Determinants of their relative impact on T-Bond futures
by Dieter Hess
2000
- 00-38 Die deutsche Einkommenssteuer als synthetisches Besteuerungssystem - Eine Fiktion?
by Dirk Schindler - 00-37 Modifying the double smoothing bandwidth selector in nonparametric regression
by Jan Beran & Yuanhua Feng & Siegfried Heiler - 00-36 Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk
by Guenter Franke & Richard C. Stapleton & Marti G. Subrahmanyam - 00-35 Mean-Variance Efficiency and Intertemporal Pricefor Risk
by Johannes Leitner - 00-34 Utility Maximization and Duality
by Johannes Leitner - 00-33 Taxation of Investment and Finance in an International Setting: Implications for Tax Competition
by Jack M. Mintz - 00-32 Commodity Taxation and international Trade in Imperfect Markets
by Andreas Haufler & Guttorm Schjelderup & Frank Staehler - 00-31 Deutsche Finanzmarktregulierung nach dem Zweiten Weltkrieg zwischen Risikoschutz und Wettbewerbssicherung
by Guenter Franke - 00-30 Recent Advances in Backward Stochastics Ricatti Equations and Their Applications
by Michael Kohlmann & Shanjian Tang - 00-29 Multi-Dimensional Backward Stochastic Ricatti Equations, and Applications
by Michael Kohlmann & Shanjian Tang - 00-28 Einfache oekonomische Verfahren fuer die Kreditrisikomessung
by Ulrich Kaiser & Andrea Szczesny - 00-27 Do companies exploit accounting rules for broad stock opion plans?
by Dieter Hess & Eric Lueders - 00-26 Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging
by Michael Kohlmann & Shanjian Tang - 00-25 Stichprobenziehung nach dem Prinzip des "Schiffeversenkens"-Ueber eigentuemliche Hochrechnungspraktiken des Bundesamtes für Finanzen
by Roland Jeske - 00-24 Efficient Bargaining and the Skill-Structure of Wages and Employment
by Ulrich Kaiser & Winfried Pohlmeier - 00-23 Is tax harmonization useful?
by Wolfgang Eggert & Bernd Genser - 00-22 Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models
by Jan Beran & Dirk Ocker - 00-21 Tests and confidence intervals for the location parameter in orthogonal FEXP models
by Jan Beran - 00-20 Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model
by Frank Gerhard & Nikolaus Hautsch - 00-19 Nonparametric M-Estimation with Long-Memory Errors
by Jan Beran & Sucharita Gosh & Philipp Sibbertsen - 00-18 On robust local polynomial estimation with long-memory errors
by Jan Beran & Yuanhua Feng & Sucharita Gosh & Philipp Sibbertsen - 00-17 Die deutsche Steuerbelastung im internationalen Vergleich
by Hettich Frank & Schmidt Carsten - 00-16 Data-driven estimation of semiparametric fractional autoregressive models
by Jan Beran & Yuanhua Feng - 00-15 A robust data-driven version of the Berlin Method
by Siegfried Heiler & Yuanhua Feng - 00-14 Do Forecasters use Monetary Models? An Empirical Analysis of Exchange Rate Expectations
by Michael Schröder & Robert Dornau - 00-13 Optimal Control of Linear Stochastic Systems with Singular Costs, and the Mean-Variance Hedging Problem with Stochastic Market Conditions
by Michael Kohlmann & Tang Shanjian - 00-12 Bounded Variation Singular Stochastic Control and Associated Dynkin Game
by Frederik Boetius - 00-11 Neyman-Pearson Hedging and Dynamic Measures of Risk
by Michael Kohlmann - 00-10 Exports and Hedging Exchange Rate Risks: The Multi-Country Case
by Axel F.A. Adam Mueller - 00-09 On the Relationship of Information Processes and Asset Price Processes
by Erik Lueders & Bernhard Peisl - 00-08 BSDES With Stochastic Lipschitz Condition
by Christian Bender & Michael Kohlmann - 00-07 Convergence of Arbitrage-free Discrete Time Markovian Market Models
by Johannes Leitner - 00-06 A Note on Mean-Variance Hedging of Non-Attainable Claims
by Michael Kohlmann & Bernhard Peisl - 00-05 Does the Governed Corporation Perform Better? Governance Structures and Corporate Performance in Germany
by Erik Lehmann & Juergen Weigand - 00-04 Do Lending Relationships Matter? Evidence from Bank Survey Data in Germany
by Erik Lehmann & Neuberger, Doris - 00-03 Finite Sample Properties of One-step, Two-step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation
by Joachim Inkmann - 00-02 Horizontal and Vertical R&D Cooperation
by Joachim Inkmann - 00-01 Gefahren kurzsichtigen Risikomanagements durch Value At Risk
by Günter Franke
1999
- 99-19 Volatility Estimation on the Basis of Price Intensities
by Frank Gerhard & Nikolaus Hautsch - 99-18 SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices
by Jan Beran & Yuanhua Feng & Günter Franke & Dieter Hess & Dirk Ocker - 99-17 Tacit Collusion under Destination - and Origin-Based Commodity Taxation
by Andreas Haufler & Guttorm Schielderup - 99-16 SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity
by Jan Beran - 99-15 Capital Tax Competition with Inefficient Government Spending
by Wolfgang Eggert - 99-14 Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models
by Jan Beran & Dirk Ocker - 99-13 SEMIFAR Forecasts, with Applications to Foreign Exchange Rates
by Jan Beran & Dirk Ocker - 99-12 Hedging Price Risk When Real Wealth Matters
by Axel F. A. Adam-Müller - 99-11 The Informed and Uniformed Agent's Price of a Contingent Claim
by Michael Kohlmann & Xun Yu Zhou - 99-10 (Reflected) Backward Stochastic Differential Equations and Contingent Claims
by Michael Kohlmann - 99-09 Backward Stochastic Differential Equations and Stochastic Controls: A New Perspective
by Michael Kohlmann & Xun Yu Zhou - 99-08 Local Polynomial Estimation with a FARIMA-GARCH Error Process
by Jan Beran & Yuanhua Feng - 99-07 Local Polynomial Fitting with Long-Memory and Antipersistent errors
by Jan Beran & Yuanhua Feng - 99-06 The Service Sentiment Indicator - A Business Climate Indicator for the German Business - Related Services Sector
by Ulrich Kaiser & Herbert S. Buscher - 99-05 A Survey on Nonparametric Time Series Analysis
by Siegfried Heiler - 99-04 Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
by Joachim Inkmann - 99-03 Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
by Nikolaus Hautsch - 99-02 International Percussions of Direct Taxes
by Wolfgang Eggert - 99-01 When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel
by Guenter Franke & Richard C. Stapleton & Marti G. Subrahmanyam
1998
- 98-01 What a Difference a Day Makes: On the Common Market Microstructure of Trading Days
by Frank Gerhard & Winfried Pohlmeier