# 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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### 2013

**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**SFB649DP2012-032 Copula Dynamics in CDOs***by*Barbara Choros-Tomczyk & Wolfgang Karl HÃ¤rdle & Ludger Overbeck**SFB649DP2012-031 Local Adaptive Multiplicative Error Models for High-Frequency Forecasts***by*Wolfgang Karl HÃ¤rdle & Nikolaus Hautsch & Andrija Mihoci**SFB649DP2012-030 Support Vector Machines with Evolutionary Feature Selection for Default Prediction***by*Wolfgang Karl HÃ¤rdle & 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 HÃ¤rdle & Brenda LÃ³pez-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*GÃ¶khan 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 LÃ©vy models: Implementation and empirical results***by*Jacob SÃ¶hl & Mathias Trabs**SFB649DP2012-016 Nonparametric adaptive estimation of linear functionals for low frequency observed LÃ©vy 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 LÃ©vy models***by*Jakob SÃ¶hl**SFB649DP2012-011 Intended and unintended consequences of mandatory IFRS adoption: A review of extant evidence and suggestions for future research***by*Ulf BrÃ¼ggemann & JÃ¶rg-Markus Hitz & Thorsten Sellhorn**SFB649DP2012-010 Fair Value Reclassifications of Financial Assets during the Financial Crisis***by*Jannis Bischof & Ulf BrÃ¼ggemann & 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 HÃ¤rdle & Weining Wang**SFB649DP2012-005 Implementing quotas in university admissions: An experimental analysis***by*Sebastian Braun & Nadja Dwenger & Dorothea KÃ¼bler & Alexander Westkamp**SFB649DP2012-004 Computational Statistics (Journal)***by*Wolfgang Karl HÃ¤rdle & Yuichi Mori & JÃ¼rgen Symanzik**SFB649DP2012-003 A Donsker Theorem for LÃ©vy Measures***by*Richard Nickl & Markus ReiÃŸ**SFB649DP2012-002 Dynamic Activity Analysis Model Based Win-Win Development Forecasting Under the Environmental Regulation in China***by*Shiyi Chen & Wolfgang Karl HÃ¤rdle**SFB649DP2012-001 HMM in dynamic HAC models***by*Wolfgang Karl HÃ¤rdle & Ostap Okhrin & Weining Wang

### 2011

**SFB649DP2011-057 Optimal Display of Iceberg Orders***by*GoÌˆkhan CebirogÌ†lu & Ulrich Horst**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 ReiÃŸ**SFB649DP2011-085 Risk Patterns and Correlated Brain Activities. Multidimensional statistical analysis of fMRI data with application to risk patterns***by*Alena MyÅ¡iÄ kovÃ¡ & Song Song & Piotr Majer & Peter N.C. Mohr & Hauke R. Heekeren & Wolfgang K. HÃ¤rdle**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 HÃ¤rdle & 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*AurÃ©lie 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*GÃ¶khan CebiroËœglu & 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 (â€œmarket impactâ€ ) 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 traderâ€™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 Icebergâ€™s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60%***by*GÃ¶khan CebiroËœglu & 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 HÃ¤rdle & Maria Osipenko**SFB649DP2011-054 TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data***by*Ray-Bing Chen & Ying Chen & Wolfgang HÃ¤rdle**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. HÃ¤rdle**SFB649DP2011-044 Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models***by*Axel GroÃŸ-KluÃŸmann & Nikolaus Hautsch**SFB649DP2011-043 CRRA Utility Maximization under Risk Constraints***by*Santiago Moreno-Bromberg & Traian A. Pirvu & Anthony RÃ©veillac**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 KÃ¶nig**SFB649DP2011-034 An estimator for the quadratic covariation of asynchronously observed ItÃ´ 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 ReiÃŸ & Yves Rozenholc & Charles A. Cuenod**SFB649DP2011-028 Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise***by*Markus ReiÃŸ**SFB649DP2011-027 Estimation of the characteristics of a LÃ©vy process observed at arbitrary frequency***by*Johanna Kappus & Markus ReiÃŸ**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 HÃ¤rdle & 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 â€“ 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 HÃ¤rdle & 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 HÃ¤rdle**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 HÃ¤rdle & Maria Osipenko**SFB649DP2011-013 Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity***by*Wolfgang Karl HÃ¤rdle & 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 MÃ¼nster**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 KÃ¼bler & SÃ¶ren 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 HÃ¤rdle & Vladimir Spokoiny & Weining Wang**SFB649DP2011-004 A Confidence Corridor for Expectile Functions***by*Esra Akdeniz Duran & Mengmeng Guo & Wolfgang Karl HÃ¤rdle**SFB649DP2011-003 Mean Volatility Regressions***by*Lu Lin & Feng Li & Lixing Zhu & Wolfgang Karl HÃ¤rdle**SFB649DP2011-002 A Confidence Corridor for Sparse Longitudinal Data Curves***by*Shuzhuan Zheng & Lijian Yang & Wolfgang Karl HÃ¤rdle**SFB649DP2011-001 Localising temperature risk***by*Wolfgang Karl Härdle & Brenda López Cabrera & Ostap Okhrin & Weining Wang

### 2010

**SFB649DP2010-062 The Norges Bankâ€™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. DaniÃ«ls**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 KrÃ¤tschmer**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 & RafaÅ‚ Weron**SFB649DP2010-048 Building Loss Models***by*Krzysztof Burnecki & Joanna Janczura & RafaÅ‚ Weron**SFB649DP2010-047 FX Smile in the Heston Model***by*Agnieszka Janek & Tino Kluge & RafaÅ‚ 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 KrÃ¤tschmer**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 HÃ¤rdle & Rainer Schulz & Weining Wang**SFB649DP2010-040 Stochastic Mortality, Subjective Survival Expectations, and Individual Saving Behavior***by*Thomas Post & Katja Hanewald**SFB649DP2010-039 High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model***by*Song Song & Wolfgang K. HÃ¤rdle & Ya'acov Ritov**SFB649DP2010-038 Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence***by*Nikolaus Hautsch & Mark Podolskij**SFB649DP2010-037 Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling***by*Alexander L. Baranovski**SFB649DP2010-036 Why Do Financial Market Experts Misperceive Future Monetary Policy Decisions?***by*Sandra Schmidt & Dieter Nautz**SFB649DP2010-035 Efficiency and Equilibria in Games of Optimal Derivative Design***by*Ulrich Horst & Santiago Moreno-Bromberg**SFB649DP2010-034 Sociodemographic, Economic, and Psychological Drivers of the Demand for Life Insurance: Evidence from the German Retirement Income Act***by*Carolin Hecht & Katja Hanewald**SFB649DP2010-033 Sensitivity of risk measures with respect to the normal approximation of total claim distributions***by*Volker KrÃ¤tschmer & Henryk ZÃ¤hle**SFB649DP2010-032 Learning Machines Supporting Bankruptcy Prediction***by*Wolfgang Karl HÃ¤rdle & Rouslan Moro & Linda Hoffmann**SFB649DP2010-031 Modeling Asset Prices***by*James E. Gentle & Wolfgang Karl HÃ¤rdle**SFB649DP2010-030 Can the New Keynesian Phillips Curve Explain Inflation Gap Persistence?***by*Fang Yao**SFB649DP2010-029 Adaptive Interest Rate Modelling***by*Mengmeng Guo & Wolfgang Karl HÃ¤rdle**SFB649DP2010-028 Social Relationships and Trust***by*Christine Binzel & Dietmar Fehr**SFB649DP2010-027 Liquidity and Capital Requirements and the Probability of Bank Failure***by*Philipp Johann KÃ¶nig**SFB649DP2010-026 Non-Gaussian Component Analysis: New Ideas, New Proofs, New Applications***by*Vladimir Panov**SFB649DP2010-025 Herding of Institutional Traders***by*Stephanie Kremer**SFB649DP2010-024 The optimal industry structure in a vertically related market***by*Raffaele Fiocco**SFB649DP2010-023 The (In)stability of Money Demand in the Euro Area: Lessons from a Cross-Country Analysis***by*Dieter Nautz & Ulrike Rondorf**SFB649DP2010-022 Fitting high-dimensional Copulae to Data***by*Ostap Okhrin**SFB649DP2010-021 Nonparametric Estimation of Risk-Neutral Densities***by*Maria Grith & Wolfgang Karl HÃ¤rdle & Melanie Schienle**SFB649DP2010-020 Aggregate Hazard Function in Price-Setting: A Bayesian Analysis Using Macro Data***by*Fang Yao