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Content
2014
2013
- SFB649DP2013-047 Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators
by Wolfgang Karl Härdle & 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 Kübler & 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 Härdle & 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 A new perspective on the economic valuation of informal caare: The well-being approach revisited
by Konstantin Kehl & Stephan Stahlschmidt
- 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 Choroś-Tomczyk & Wolfgang Karl Härdle & Ostap Okhrin
- SFB649DP2013-031 Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
by Helmut Lütkepohl & 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 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
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 MyÅ¡iÄ ková & 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
- SFB649DP2011-057 Optimal Display of Iceberg Orders
by Gökhan Cebiroğlu & 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
- SFB649DP2011-038 The Neural Basis of Following Advice
by Jörg Rieskamp & Brenda Lea K. Krugel & Hauke R. Heekeren
- SFB649DP2011-037 Neurobiology of value integration: When value impacts valuation
by Soyoung Q Park & Thorsten Kahnt & Jörg Rieskamp & Hauke R. Heekeren
- 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
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