# Sonderforschungsbereich 649, Humboldt University, Berlin, Germany

# SFB 649 Discussion Papers

Postal: Spandauer Str. 1,10178 Berlin

Phone: +49-30-2093-5708

Fax: +49-30-2093-5617

Web page: http://sfb649.wiwi.hu-berlin.de

Email:

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Phone: +49-30-2093-5708

Fax: +49-30-2093-5617

Web page: http://sfb649.wiwi.hu-berlin.de

Email:

More information through EDIRC

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### 2016

**SFB649DP2016-004 Leveraged ETF options implied volatility paradox: a statistical study***by*Wolfgang Karl Härdle & Sergey Nasekin & Zhiwu Hong**SFB649DP2016-003 College Admissions with Entrance Exams: Centralized versus Decentralized***by*Isa E. Hafalir & Rustamdjan Hakimov & Dorothea Kübler & Morimitsu Kurino**SFB649DP2016-002 Uncertainty and Employment Dynamics in the Euro Area and the US***by*Aleksei Netsunajev & Katharina Glass**SFB649DP2016-001 Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries***by*Cathy Yi-Hsuan Chen & Thomas C. Chiang & Wolfgang Karl Härdle

### 2015

**SFB649DP2015-048 CRIX or evaluating Blockchain based currencies***by*Simon Trimborn & Wolfgang Karl Härdle**SFB649DP2015-047 TERES - Tail Event Risk Expectile based Shortfall***by*Philipp Gschöpf & Wolfgang Karl Härdle & Andrija Mihoci**SFB649DP2015-046 Site assessment, turbine selection, and local feed-in tariffs through the wind energy index***by*Matthias Ritter & Lars Deckert**SFB649DP2015-044 The (De-)Anchoring of Inflation Expectations: New Evidence from the Euro Area***by*Laura Pagenhardt & Dieter Nautz & Till Strohsal & Strohsal**SFB649DP2015-043 On the Long-run Neutrality of Demand Shocks***by*Wenjuan Chen & Aleksei Netsunajev**SFB649DP2015-042 Copula-Based Factor Model for Credit Risk Analysis***by*Lu, Meng-Jou & Chen, Cathy Yi-Hsuan & Härdle, Karl Wolfgang & Härdle**SFB649DP2015-041 Forecasting the oil price using house prices Mechanism and the Business Cycle***by*Rainer Schulz & Martin Wersing**SFB649DP2015-040 The Role of Shadow Banking in the Monetary Transmission Mechanism and the Business Cycle***by*Falk Mazelis**SFB649DP2015-039 Dynamics of Real Per Capita GDP***by*Daniel Neuhoff**SFB649DP2015-038 Conditional Systemic Risk with Penalized Copula***by*Ostap Okhrin & Alexander Ristig & Jeffrey Sheen & Stefan Trück**SFB649DP2015-036 Crowdfunding, demand uncertainty, and moral hazard - a mechanism design approach***by*Roland Strausz**SFB649DP2015-035 Price discovery in the markets for credit risk: A Markov switching approach***by*Thomas Dimpfl & Franziska J. Peter**SFB649DP2015-034 Factorisable Sparse Tail Event Curves***by*Shih-Kang Chao & Wolfgang K. Härdle & Ming Yuan**SFB649DP2015-033 Not Working at Work: Loafing, Unemployment and Labor Productivity***by*Michael C. Burda & Katie Genadek & Daniel S. Hamermesh**SFB649DP2015-032 Government Bond Liquidity and Sovereign-Bank Interlinkages***by*Sören Radde & Cristina Checherita-Westphal & Wei Cui**SFB649DP2015-031 Simultaneous likelihood-based bootstrap confidence sets for a large number of models***by*Mayya Zhilova**SFB649DP2015-030 Testing for Identification in SVAR-GARCH Models***by*Helmut Luetkepohl & George Milunovich**SFB649DP2015-029 Change point and trend analyses of annual expectile curves of tropical storms***by*P. Burdejova & W.K. Härdle & Kokoszka & Q.Xiong**SFB649DP2015-028 The Time-Varying Degree of Inflation Expectations Anchoring***by*Till Strohsal & Rafi Melnick & Dieter Nautz**SFB649DP2015-027 The Information Content of Monetary Statistics for the Great Recession: Evidence from Germany***by*Wenjuan Chen & Dieter Nautz**SFB649DP2015-026 Forecasting volatility of wind power production***by*Zhiwei Shen & Matthias Ritter**SFB649DP2015-025 Employment Polarization and Immigrant Employment Opportunities***by*Hanna Wielandt**SFB649DP2015-024 How Do Financial Cycles Interact? Evidence from the US and the UK***by*Till Strohsal & Christian R. Proaño & Jürgen Wolters**SFB649DP2015-023 An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China***by*Linlin Niu & Xiu Xu & Ying Chen**SFB649DP2015-022 Risk Related Brain Regions Detected with 3D Image FPCA***by*Ying Chen & Wolfgang K. Härdle & Qiang He & Piotr Majer**SFB649DP2015-021 Characterizing the Financial Cycle: Evidence from a Frequency Domain Analysis***by*Till Strohsal & Christian R. Proaño & Jürgen Wolters**SFB649DP2015-020 Is There an Asymmetric Impact of Housing on Output?***by*Tsung-Hsien Michael Lee & Wenjuan Chen**SFB649DP2015-019 Measuring Connectedness of Euro Area Sovereign Risk***by*Rebekka Gätjen & Melanie Schienle**SFB649DP2015-018 Manager Characteristics and Credit Derivative Use by U.S. Corporate Bond Funds***by*Dominika Paula Gałkiewicz**SFB649DP2015-017 Loss Potential and Disclosures Related to Credit Derivatives – A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation***by*Dominika Paula Gałkiewicz**SFB649DP2015-016 Testing Missing at Random using Instrumental Variables***by*Christoph Breunig**SFB649DP2015-015 Structural Vector Autoregressions with Heteroskedasticy***by*Helmut Lütkepohl & Aleksei Netšunajev**SFB649DP2015-014 Generalized Exogenous Processes in DSGE: A Bayesian Approach***by*Alexander Meyer-Gohde & Daniel Neuhoff**SFB649DP2015-013 Pitfalls and Perils of Financial Innovation: The Use of CDS by Corporate Bond Funds***by*Tim Adam & Andre Guettler**SFB649DP2015-012 The Impact of Credit Default Swap Trading on Loan Syndication***by*Daniel Streitz**SFB649DP2015-011 Competitors In Merger Control: Shall They Be Merely Heard Or Also Listened To?***by*Thomas Giebe & Miyu Lee**SFB649DP2015-010 Estimation of NAIRU with Inflation Expectation Data***by*Wei Cui & Wolfgang K. HÃ¤rdle & Weining Wang**SFB649DP2015-009 From Galloping Inflation to Price Stability in Steps: Israel 1985â€“2013***by*Rafi Melnick & Till Strohsal**SFB649DP2015-008 Nonparametric change-point analysis of volatility***by*Markus Bibinger & Moritz Jirak & Mathias Vetter**SFB649DP2015-007 Stochastic Population Analysis: A Functional Data Approach***by*Lei Fang & Wolfgang K. HÃ¤rdle**SFB649DP2015-006 Cognitive Bubbles***by*Ciril Bosch-Rosa & Thomas Meissner & Antoni Bosch-DomÃ¨nech**SFB649DP2015-005 Distillation of News Flow into Analysis of Stock Reactions***by*Junni L. Zhang & Wolfgang K. HÃ¤rdle & Cathy Y. Chen & Elisabeth Bommes**SFB649DP2015-004 Efficiency of Wind Power Production and its Determinants***by*Simone Pieralli & Matthias Ritter & Martin Odening**SFB649DP2015-003 Identifying Berlin's land value map using Adaptive Weights Smoothing***by*Jens Kolbe & Rainer Schulz & Martin Wersing & Axel Werwatz**SFB649DP2015-002 Estimating the Value of Urban Green Space: A hedonic Pricing Analysis of the Housing Market in Cologne, Germany***by*Jens Kolbe & Henry WÃ¼stemann**SFB649DP2015-001 Pricing Kernel Modeling***by*Denis Belomestny & Shujie Ma & Wolfgang Karl HÃ¤rdle

### 2014

**SFB649DP2014-070 The Politics of Related Lending***by*Michael Halling & Pegaret Pichler & Alex Stomper**SFB649DP2014-069 When the Taylor principle is insufficient - A benchmark for the fiscal theory of the price level in a monetary union***by*Maren Brede**SFB649DP2014-068 Estimation and Determinants of Chinese Banksâ€™ Total Factor Efficiency: A New Vision Based on Unbalanced Development of Chinese Banks and Their Overall Risk***by*Shiyi Chen & Wolfgang K. HÃ¤rdle & Li Wang**SFB649DP2014-067 Bootstrap confidence sets under model misspecification***by*Vladimir Spokoiny & Mayya Zhilova**SFB649DP2014-066 TENET: Tail-Event driven NETwork risk***by*Wolfgang Karl HÃ¤rdle & Natalia Sirotko-Sibirskaya & Weining Wang**SFB649DP2014-065 A Theory of Price Adjustment under Loss Aversion***by*Steffen Ahrens & Inske Pirschel & Dennis J. Snower**SFB649DP2014-064 Whom are you talking with? An experiment on credibility and communication structure***by*Gilles Grandjean & Marco Mantovani & Ana Mauleon & Vincent Vannetelbosch**SFB649DP2014-063 The Influence of Oil Price Shocks on Chinaâ€™s Macroeconomy : A Perspective of International Trade***by*Shiyi Chen & Dengke Chen & Wolfgang K. HÃ¤rdle**SFB649DP2014-062 Do Tax Cuts Increase Consumption? An Experimental Test of Ricardian Equivalence***by*Thomas Meissner & Davud Rostam-Afschar**SFB649DP2014-061 Why the split of payroll taxation between firms and workers matters for macroeconomic stability***by*Simon Voigts**SFB649DP2014-060 Are US Inflation Expectations Re-Anchored?***by*Dieter Nautz & Till Strohsal**SFB649DP2014-059 Expectile Treatment Effects: An efficient alternative to compute the distribution of treatment effects***by*Stephan Stahlschmidt & Matthias Eckardt & Wolfgang K. Härdle**SFB649DP2014-058 Boiling the frog optimally: nan experiment on survivor curve shapes and internet revenue***by*Christina Aperjis & Ciril Bosch-Rosa & Daniel Friedman & Bernardo A. Huberman**SFB649DP2014-057 A Tale of Two Tails: Preferences of neutral third-parties in three-player ultimatum games***by*Ciril Bosch-Rosa**SFB649DP2014-056 Monetary Policy Effects on Financial Intermediation via the Regulated and the Shadow Banking Systems***by*Falk Mazelis**SFB649DP2014-055 Estimating the Spot Covariation of Asset Prices â€“ Statistical Theory and Empirical Evidence***by*Markus Bibinger & Markus Reiss & Nikolaus Hautsch & Peter Malec**SFB649DP2014-054 Strategic Complementarities and Nominal Rigidities***by*Philipp KÃ¶nig & Alexander Meyer-Gohde**SFB649DP2014-053 Improved Volatility Estimation Based On Limit Order Books***by*Markus Bibinger & Moritz Jirak & Markus Reiss**SFB649DP2014-052 Designing an Index for Assessing Wind Energy Potential***by*Matthias Ritter & Zhiwei Shen & Brenda LÃ³pez Cabrera & Martin Odening & Lars Deckert**SFB649DP2014-051 Corporate Cash Hoarding in a Model with Liquidity Constraints***by*Falk Mazelis**SFB649DP2014-050 Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models***by*Thijs Benschopa & Brenda LÃ³pez Cabrera**SFB649DP2014-049 Comparing Solution Methods for DSGE Models with Labor Market Search***by*Hong Lan**SFB649DP2014-048 That's how we roll: an experiment on rollover risk***by*Ciril Bosch-Rosa**SFB649DP2014-047 Similarities and Differences between U.S. and German Regulation of the Use of Derivatives and Leverage by Mutual Funds â€“ What Can Regulators Learn from Each Other?***by*Dominika Paula GaÅ‚kiewicz**SFB649DP2014-046 Ex post information rents in sequential screening***by*Daniel KrÃ¤hmer & Roland Strausz & Melanie**SFB649DP2014-045 Optimal Sales Contracts with Withdrawal Rights***by*Daniel KrÃ¤hmer & Roland Strausz & Melanie**SFB649DP2014-044 On the Timing of Climate Agreements***by*Robert C. Schmidt & Roland Strausz & Melanie**SFB649DP2014-043 Semiparametric Estimation with Generated Covariates***by*Enno Mammen & Christoph Rothe & Melanie Schienle**SFB649DP2014-042 Beyond dimension two: A test for higher-order tail risk***by*Carsten Bormann & Melanie Schienle & Julia Schaumburg**SFB649DP2014-041 Certification and Market Transparency***by*Konrad Stahl & Roland Strausz**SFB649DP2014-040 Localising Forward Intensities for Multiperiod Corporate Default***by*Dedy Dwi Prastyo & Wolfgang Karl HÃ¤rdle**SFB649DP2014-039 The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends***by*Cathy Yi-Hsuan Chen & Wolfgang Karl HÃ¤rdle & Hien Pham-Thu**SFB649DP2014-038 Spatial Wage Inequality and Technological Change***by*Charlotte Senftleben-Koenig & Hanna Wielandt**SFB649DP2014-036 Portfolio Decisions and Brain Reactions via the CEAD method***by*Piotr Majer & Peter Mohr & Hauke Heekeren & Wolfgang Karl HÃ¤rdle**SFB649DP2014-035 Adaptive Order Flow Forecasting with Multiplicative Error Models***by*Wolfgang Karl HÃ¤rdle & Andrija Mihoci & Christopher Hian-Ann Ting**SFB649DP2014-034 Risky Linear Approximations***by*Alexander Meyer-Gohde**SFB649DP2014-033 Discount Factor Shocks and Labor Market Dynamics***by*Julien Albertini & Arthur Poirier**SFB649DP2014-032 TEDAS - Tail Event Driven ASset Allocation***by*Wolfgang Karl HÃ¤rdle & Sergey Nasekin & David Lee Kuo Chuen & Phoon Kok Fai**SFB649DP2014-031 Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market***by*Helmut Lütkepohl & Aleksei Netsunajev**SFB649DP2014-030 Forecasting Generalized Quantiles of Electricity Demand: A Functional Data Approach***by*Brenda Lopez Cabrera & Franziska Schulz**SFB649DP2014-029 Information Risk, Market Stress and Institutional Herding in Financial Markets: New Evidence Through the Lens of a Simulated Model***by*Christopher Boortz & Stephanie Kremer & Simon Jurkatis & Dieter Nautz**SFB649DP2014-028 Confidence Corridors for Multivariate Generalized Quantile Regression***by*Shih-Kang Chao & Katharina Proksch & Holger Dette & Wolfgang HÃ¤rdle**SFB649DP2014-027 Stale Forward Guidance***by*Gunda-Alexandra Detmers & Dieter Nautz**SFB649DP2014-026 Credit Risk Calibration based on CDS Spreads***by*Shih-Kang Chao & Wolfgang Karl HÃ¤rdle & Hien Pham-Thu**SFB649DP2014-025 Is there a demand for multi-year crop insurance?***by*Maria Osipenko & Zhiwei Shen & Martin Odening**SFB649DP2014-024 Peer Effects and Studentsâ€™ Self-Control***by*Berno Buechel & Lydia Mechtenberg & Julia Petersen**SFB649DP2014-023 Inflation Expectations Spillovers between the United States and Euro Area***by*Aleksei NetÅ¡unajev & Lars Winkelmann**SFB649DP2014-022 Nonparametric Test for a Constant Beta over a Fixed Time Interval***by*Markus ReiÃŸ & Viktor Todorov & George Tauchen**SFB649DP2014-021 Do Maternal Health Problems Influence Child's Worrying Status? Evidence from British Cohort Study***by*Xianhua Dai & Wolfgang Karl HÃ¤rdle & Keming Yu**SFB649DP2014-020 Modelling spatiotemporal variability of temperature***by*Xiaofeng Cao & Ostap Okhrin & Martin Odening & Matthias Ritter**SFB649DP2014-019 Unemployment benefits extensions at the zero lower bound on nominal interest rate***by*Julien Albertini & Arthur Poirier**SFB649DP2014-018 Interacting Product and Labor Market Regulation and the Impact of Immigration on Native Wages***by*Susanne Prantl & Alexandra Spitz-Oener**SFB649DP2014-017 The composition of government spending and the multiplier at the Zero Lower Bound***by*Julien Albertini & Arthur Poirier & Jordan Roulleau-Pasdeloup**SFB649DP2014-016 An Application of Principal Component Analysis on Multivariate Time-Stationary Spatio-Temporal Data***by*Stephan Stahlschmidt & Wolfgang Karl HÃ¤rdle & Helmut Thome**SFB649DP2014-015 Ladislaus von Bortkiewicz - statistician, economist, and a European intellectual***by*Wolfgang Karl HÃ¤rdle & Annette B. Vogt**SFB649DP2014-014 Estimation procedures for exchangeable Marshall copulas with hydrological application***by*Fabrizio Durante & Ostap Okhrin**SFB649DP2014-013 Product Market Deregulation and Employment Outcomes: Evidence from the German Retail Sector***by*Charlotte Senftleben-KÃ¶nig**SFB649DP2014-012 Nonparametric Estimates for Conditional Quantiles of Time Series***by*JÃ¼rgen Franke & Peter Mwita & Weining Wang**SFB649DP2014-011 Fiscal Devaluation in a Monetary Union***by*Philipp Engler & Giovanni Ganelli & Juha Tervala & Simon Voigts**SFB649DP2014-010 Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models***by*Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig**SFB649DP2014-009 Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity***by*Helmut LÃ¼tkepohl & Anton Velinov**SFB649DP2014-008 Simultaneous Confidence Corridors and Variable Selection for Generalized Additive Models***by*Shuzhuan Zheng & Rong Liu & Lijian Yang & Wolfgang Karl HÃ¤rdle**SFB649DP2014-007 Confidence Bands for Impulse Responses: Bonferroni versus Wald***by*Helmut LÃ¼tkepohl & Anna Staszewska-Bystrova & Peter Winker**SFB649DP2014-006 A consistent two-factor model for pricing temperature derivatives***by*Andreas Groll & Brenda LÃ³pez-Cabrera & Thilo Meyer-Brandis**SFB649DP2014-005 Functional stable limit theorems for efficient spectral covolatility estimators***by*Randolf Altmeyer & Markus Bibinger**SFB649DP2014-004 Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey***by*Helmut LÃ¼tkepohl**SFB649DP2014-003 An Extended Single Index Model with Missing Response at Random***by*Qihua Wang & Tao Zhang & Wolfgang Karl HÃ¤rdle**SFB649DP2014-002 A Simultaneous Confidence Corridor for Varying Coefficient Regression with Sparse Functional Data***by*Lijie Gu & Li Wang & Wolfgang Karl HÃ¤rdle & Lijian Yang**SFB649DP2014-001 Principal Component Analysis in an Asymmetric Norm***by*Ngoc Mai Tran & Maria Osipenko & Wolfgang Karl HÃ¤rdle

### 2013

**SFB649DP2013-035 A new perspective on the economic valuation of informal caare: The well-being approach revisited***by*Konstantin Kehl & Stephan Stahlschmidt**SFB649DP2013-047 Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators***by*Wolfgang Karl HÃ¤rdle & Ya'acov Ritov & Weining Wang**SFB649DP2013-046 Automated Valuation Modelling: A Specification Exercise***by*Rainer Schulz & Martin Wersing & Axel Werwatz**SFB649DP2013-045 Intertemporal Consumption and Debt Aversion:An Experimental Study***by*Thomas Meissner**SFB649DP2013-044 Assortative matching through signals***by*Friedrich Poeschel**SFB649DP2013-043 Testing the Preferred-Habitat Theory: The Role ofTime-Varying Risk Aversion***by*Till Strohsal**SFB649DP2013-042 Volatility linkages between energy and agricultural commodity prices***by*Brenda López Cabrera, & Franziska Schulz,**SFB649DP2013-041 Goodness-of-fit Test for Specification of Semiparametric Copula Dependence Models***by*Shulin Zhang, & Ostap Okhrin, & Qian M. Zhou & Peter X.-K. Song**SFB649DP2013-040 Privacy Concerns, Voluntary Disclosure of Information, and Unraveling: An Experiment***by*Volker Benndorf & Dorothea KÃ¼bler & Hans-Theo Normann**SFB649DP2013-039 Limited higher order beliefs and the welfare effects of public information***by*Camille Cornand & Frank Heinemann & Tobias**SFB649DP2013-038 ECB monetary policy surprises: identification through cojumps in interest rates***by*Lars winkelmann & Markus Bibinger & Tobias Linzert**SFB649DP2013-037 Default Risk Calculation based on Predictor Selection for the Southeast Asian Industry***by*Wolfgang Karl HÃ¤rdle & Dedy Dwi Prastyo**SFB649DP2013-036 Herding in financial markets: Bridging the gap between theory and evidence***by*Christopher Boortz & Simon Jurkatis & Stephanie Kremer & Dieter Nautz**SFB649DP2013-035 Sharp deviation bounds for quadratic forms***by*Vladimir Spokoiny & Mayya Zhilova**SFB649DP2013-034 Robust Estimation and Inference for Threshold Models with Integrated Regressors***by*Haiqiang Chen**SFB649DP2013-033 Estimation and Inference for Varying-coefficient Models with Nonstationary Regressors using Penalized Splines***by*Haiqiang Chen & Ying Fang & Yingxing Li**SFB649DP2013-032 CDO Surfaces Dynamics***by*Barbara ChoroÅ›-Tomczyk & Wolfgang Karl HÃ¤rdle & Ostap Okhrin**SFB649DP2013-031 Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions***by*Helmut LÃ¼tkepohl & Anna Staszewska-Bystrova & Peter Winker**SFB649DP2013-030 Can expert knowledge compensate for data scarcity in crop insurance pricing?***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 HÃ¤rdle & 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 HÃ¤rdle & Brenda LÃ³pez-Cabrera & Huei-Wen Teng**SFB649DP2013-025 The â€˜Celtic Crisisâ€™: Guarantees, transparency, and systemic liquidity risk***by*Philipp KÃ¶nig & 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 HÃ¤rdle & Volker KrÃ¤tschmer**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 HÃ¤rdle & Weining Wang & Lixing Zhu**SFB649DP2013-009 â€˜I'll do it by myself as I knew it all alongâ€™: On the failure of hindsight-biased principals to delegate optimally***by*David Danz & Frank HÃ¼ber & Dorothea KÃ¼bler & 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 DÃ¶nges & Frank Heinemann & Tijmen R. DaniÃ«ls**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 LÃ³pez 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 HÃ¤rdle

### 2012

**SFB649DP2012-067 Can the market forecast the weather better than meteorologists?***by*Matthias Ritter**SFB649DP2012-066 Implied Basket Correlation Dynamics***by*Wolfgang Karl HÃ¤rdle & 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 HÃ¤rdle**SFB649DP2012-062 Brand equity â€“ 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 HÃ¤rdle**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**SFB649DP2012-051 Using transfer entropy to measure information flows between financial markets***by*Thomas Dimpfl & Franziska J. Peter**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 HÃ¤rdle,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 SÃ¶hl & 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