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Content
2008
- 08/11 Importance sampling for backward SDEs
by Bendera, Christian & Moseler, Thilo
- 08/10 Filtered Log-periodogram Regression of long memory processes
by Feng, Yuanhua & Beran, Jan
- 08/09 Recovering delisting returns of hedge funds
by Hodder, James E. & Jackwerth, Jens Carsten & Kolokolova, Olga
- 08/08 Are options on index futures profitable for risk averse investors? Empirical evidence
by Jackwerth, Jens Carsten & Constantinides, George M. & Czerwonko, Michal & Perrakis, Stelios
- 08/07 Managerial responses to incentives: Control of firm risk, derivative pricing implications, and outside wealth management
by Jackwerth, Jens Carsten & Hodder, James E.
- 08/06 Modelling and forecasting multivariate realized volatility
by Chiriac, Roxana & Voev, Valeri
- 08/05 A Boltzmann-type approach to the formation of wealth distribution curves
by Düring, Bertram & Matthes, Daniel & Toscani, Giuseppe
- 08/04 Asset pricing under information with stochastic volatility
by Düring, Bertram
- 08/03 Kinetic equations modelling wealth redistribution: A comparison of approaches
by Düring, Bertram & Matthes, Daniel & Toscani, Giuseppe
- 08/02 International and domestic trading and wealth distribution
by Düring, Bertram & Toscani, Giuseppe
- 08/01 A nonparametric regression cross spectrum for multivariate time series
by Beran, Jan
2007
- 07/15 Optimal convergence rates in nonparametric regression with fractional time series errors
by Feng, Yuanhua & Beran, Jan
- 07/14 Modelling financial time series with SEMIFAR-GARCH model
by Feng, Yuanhua & Beran, Jan & Yu, Keming
- 07/13 On parameter estimation for locally stationary long-memory processes
by Beran, Jan
- 07/12 Estimation of a nonparametric regression spectrum for multivariate time series
by Beran, Jan & Heiler, Mark A.
- 07/11 Non-market wealth, background risk and portfolio choice
by Franke, Günter & Schlesinger, Harris & Stapleton, Richard C.
- 07/10 Information asymmetries and securitization design
by Franke, Günter & Herrmann, Markus & Weber, Thomas
- 07/09 Securitisation of mezzanine capital in Germany
by Franke, Günter & Hein, Julia
- 07/08 Two-dimensional risk neutral valuation relationships for the pricing of options
by Franke, Günter & Huang, James & Stapleton, Richard C.
- 07/07 Estimating high-frequency based (co-) variances: A unified approach
by Nolte, Ingmar & Voev, Valeri
- 07/06 Hydrodynamics from kinetic models of conservative economies
by Düring, B. & Toscani, Giuseppe
- 07/05 Dual income taxation as a stepping stone towards a European corporate income tax
by Genser, Bernd & Schindler, Dirk
- 07/04 An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics
by Bien, Katarzyna & Nolte, Ingmar & Pohlmeier, Winfried
- 07/03 Customer trading in the foreign exchange market empirical evidence from an internet trading platform
by Lechner, Sandra & Nolte, Ingmar
- 07/02 Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market
by Nolte, Ingmar & Voev, Valeri
- 07/01 Dynamic modeling of large dimensional covariance matrices
by Voev, Valeri
2006
- 06/09 Wieweit tragen rationale Modelle in der Finanzmarktforschung?
by Franke, Günter & Weber, Thomas
- 06/08 Wie werden Collateralized Debt Obligation-Transaktionen gestaltet?
by Franke, Günter & Weber, Thomas
- 06/07 Anforderungen in Zeiten eines beschleunigten "industriellen" Strukturwandels: Integrierte Finanzwertschöpfung
by Franke, Günter
- 06/06 A Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics
by Bien, Katarzyna & Nolte, Ingmar & Pohlmeier, Winfried
- 06/05 Return predictability and stock market crashes in a simple rational expectation models
by Franke, Günter & Lüders, Erik
- 06/04 Estimating liquidity using information on the multivariate trading process
by Bien, Katarzyna & Nolte, Ingmar & Pohlmeier, Winfried
- 06/03 A trade-by-trade surprise measure and its relation to observed spreads on the NYSE
by Voev, Valeri
- 06/02 A sequential quadratic programming method for volatility estimation in option pricing
by Düring, Bertram & Jüngel, Ansgar & Volkwein, S.
- 06/01 Company tax reform in Europe and its effect on collusive behavior
by Schindler, Dirk & Schjelderup, Guttorm
2005
- 05/11 What can we expect from the new trade of C02-allowances?
by Franke, Günter
- 05/10 The dynamics of overconfidence: Evidence from stock market forecasters
by Deaves, Richard & Lüders, Erik & Schröder, Michael
- 05/09 Mispricing of S&P 500 index options
by Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos
- 05/08 Incremental risk vulnerability
by Franke, Günter & Stapleton, Richard C. & Subrahmanyam, Marti G.
- 05/07 An experimental test of the impact of overconfidence and gender on trading activity
by Deaves, Richard & Lüders, Erik & Luo, Guo Ying
- 05/06 Option pricing: Real and risk-neutral distributions
by Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos
- 05/05 Return predictability and stock market crashes in a simple rational expectations model
by Lüders, Erik & Franke, Günter
- 05/04 Default risk sharing between banks and markets: The contribution of collateralized debt obligations
by Franke, Günter & Krahnen, Jan Pieter
- 05/03 M&A-Transaktionen: Fluch und Segen der Realoptionstheorie
by Franke, Günter & Hopp, Christian
- 05/02 Incentive contracts and hedge fund management
by Hodder, James E. & Jackwerth, Jens Carsten
- 05/01 Employee stock options: Much more valuable than you thought
by Hodder, James E. & Jackwerth, Jens Carsten
2004
- 04/08 Transformation nicht-gehandelter in handelbare Kreditrisiken
by Franke, Günter
- 04/07 Präferenzfreie Strategien zum Absichern von Wechselkursrisiken
by Franke, Günter
- 04/06 Might a Securities Transactions Tax Mitigate Excess Volatility? Some Evidence From the Literature
by Haberer, Markus
- 04/05 Why Do Asset Prices Not Follow Random Walks?
by Franke, Günter & Lüders, Erik
- 04/04 Conditionally parametric fits for CAPM betas
by Abberger, Klaus
- 04/03 A simple graphical method to explore tail-dependence in stock-return pairs
by Abberger, Klaus
- 04/02 Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation
by Fournié, Michel & Düring, Bertram & Jüngel, Ansgar
- 04/01 A Quasilinear Parabolic Equation with Quadratic Growth of the Gradient modeling Incomplete Financial Markets
by Düring, Bertram & Jüngel, Ansgar
2003
- 03/11 Optimal Income Taxation with a Risky Asset: The Triple Income Tax
by Schindler, Dirk
- 03/10 Incentive Contracts and Hedge Fund Management: A Numerical Evaluation Procedure
by Jackwerth, Jens Carsten & Hodder, James E.
- 03/09 Portfolio Choice and Transactions Taxes
by Haberer, Markus
- 03/08 Kapitalmarktverfassung, Managerentlohnung und Bilanzpolitik
by Franke, Günter
- 03/07 The Taxation of Financial Capital under Asymmetric Information and the Tax-Competition Paradox
by Eggert, Wolfgang & Kolmar, Martin
- 03/06 Double Taxation, Tax Credits and the Information Exchange Puzzle
by Eggert, Wolfgang
- 03/05 Multiplicative background risk
by Franke, Günter & Schlesinger, Harris & Stapleton, Richard C.
- 03/04 Schätzung ökonometrischer Modelle auf der Grundlage anonymisierter Daten
by Pohlmeier, Winfried & Lechner, Sandra
- 03/03 A Dynamic Integer Count Data Model for Financial Transaction Prices
by Pohlmeier, Winfried & Liesenfeld, Roman
- 03/02 Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors
by Feng, Yuanhua
- 03/01 Some Criticism of the Tobin Tax
by Haberer, Markus
2002
- 02/18 Modelling Different Volatility Components
by Feng, Yuanhua
- 02/17 Shall We Tax the Risk Premium?
by Schindler, Dirk & Hilgers, Bodo
- 02/16 Besteuerung des Nichts: Steuerarbitrage und das schwindende Aufkommen bei Kapitaleinkommensteuern
by Schindler, Dirk
- 02/15 ML-Estimation in the Location-Scale-Shape Model of the Generalized Logistic Distribution
by Abberger, Klaus
- 02/14 Exploring local dependence
by Abberger, Klaus
- 02/13 Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors
by Beran, Jan & Feng, Yuanhua
- 02/12 Simultaneously Modelling Conditional Heteroskedasticity and Scale Change
by Feng, Yuanhua
- 02/11 Prediction of 0-1-events for short- and long-memory time series
by Beran, Jan
- 02/10 Pricing of cap-interest rates based on renewal processes
by Beran, Jan & Ocker, Dirk
- 02/09 Smoothing ordered sparse contingency tables and the Chi-Squared test
by Abberger, Klaus
- 02/08 The impact of delivery risk on optimal production and futures hedging
by Adam-Müller, Axel F. A. & Wong, Kit Pong
- 02/07 Restricted Export Flexibility and Risk Management with Options and Futures
by Adam-Müller, Axel F. A. & Wong, Kit Pong
- 02/06 The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
by Hautsch, Nikolaus & Hess, Dieter
- 02/05 Modelling Intraday Trading Activity Using Box-Cox-ACD Models
by Hautsch, Nikolaus
- 02/04 An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series
by Feng, Yuanhua
- 02/03 Variable data driven bandwidth choice in nonparametric quantile regression
by Abberger, Klaus
- 02/02 Kernel smoothed prediction intervals for ARMA models
by Abberger, Klaus
- 02/01 Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors
by Feng, Yuanhua
2001
- 01/12 Supplement to the Paper "Interative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties": Detailed Simulation Results
by Beran, Jan & Feng, Yuanhua
- 01/11 Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties
by Beran, Jan & Feng, Yuanhua
- 01/10 Penalizing function based bandwidth choice in nonparametric quantile regression
by Abberger, Klaus
- 01/09 Ist eine duale Einkommensteuer einfacher und gerechter als eine umfassende Einkommensteuer?
by Genser, Bernd
- 01/08 Heterogeneity of Investors and Asset Pricing in a Risk-Value World
by Franke, Günter & Weber, Martin
- 01/07 High order compact finite difference schemes for a nonlinear Black-Scholes equation
by Düring, Bertram & Fournié, Michel & Jüngel, Ansgar
- 01/06 What to Do if Dollar is Not a Dollar? The Impact of Inflation Risk on Production and Risk Management
by Adam-Müller, Axel F. A.
- 01/05 Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
by Hautsch, Nikolaus & Pohlmeier, Winfried
- 01/04 Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions
by Hautsch, Nikolaus & Klotz, Stefan
- 01/03 Accounting for Nonresponse Heterogeneity in Panel Data
by Inkmann, Joachim
- 01/02 Der "Bankenschlüssel": Zum eingeschränkten Vorsteuerabzug bei Finanzdienstleistungsunternehmen in Deutschland
by Schmidt, Carsten
- 01/01 Surprises in U.S. macroeconomic releases: Determinants of their relative impact on T-Bond futures
by Hess, Dieter
2000
- 00/38 Die deutsche Einkommenssteuer als synthetisches Besteuerungssystem - Eine Fiktion?
by Schindler, Dirk
- 00/37 Modifying the double smoothing bandwidth selector in nonparametric regression
by Beran, Jan & Feng, Yuanhua & Heiler, Siegfried
- 00/36 Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk
by Franke, Günter & Stapleton, Richard C. & Subrahmanyam, Marti G.
- 00/35 Mean-Variance Efficiency and Intertemporal Price for Risk
by Leitner, Johannes
- 00/34 Utility Maximization and Duality
by Leitner, Johannes
- 00/33 Taxation of Investment and Finance in an International Setting: Implications for Tax Competition
by Mintz, Jack M.
- 00/32 Commodity Taxation and international Trade in Imperfect Markets
by Haufler, Andreas & Schjelderup, Guttorm & Stähler, Frank
- 00/31 Deutsche Finanzmarktregulierung nach dem Zweiten Weltkrieg zwischen Risikoschutz und Wettbewerbssicherung
by Franke, Günter
- 00/30 Recent Advances in Backward Stochastics Riccati Equations and Their Applications
by Kohlmann, Michael & Tang, Shanjian
- 00/29 Multi-Dimensional Backward Stochastic Riccati Equations, and Applications
by Kohlmann, Michael & Tang, Shanjian
- 00/28 Einfache ökonometrische Verfahren für die Kreditrisikomessung
by Kaiser, Ulrich & Szczesny, Andrea
- 00/27 Do companies exploit accounting rules for broad-based stock option plans? A case study
by Hess, Dieter & Lueders, Eric
- 00/26 Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging
by Kohlmann, Michael & Tang, Shanjian
- 00/25 Stichprobenziehung nach dem Prinzip des "Schiffeversenkens" - Über eigentümliche Hochrechnungspraktiken des Bundesamtes für Finanzen
by Jeske, Roland
- 00/24 Efficient Bargaining and the Skill-Structure of Wages and Employment
by Kaiser, Ulrich & Pohlmeier, Winfried
- 00/23 Is tax harmonization useful?
by Eggert, Wolfgang & Genser, Bernd
- 00/22 Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models
by Beran, Jan & Ocker, Dirk
- 00/21 Tests and confidence intervals for the location parameter in orthogonal FEXP models
by Beran, Jan
- 00/20 Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model
by Gerhard, Frank & Hautsch, Nikolaus
- 00/19 Nonparametric M-Estimation with Long-Memory Errors
by Beran, Jan & Gosh, Sucharita & Sibbertsen, Philipp
- 00/18 On robust local polynomial estimation with long-memory errors
by Beran, Jan & Feng, Yuanhua & Gosh, Sucharita & Sibbertsen, Philipp
- 00/17 Die deutsche Steuerbelastung im internationalen Vergleich
by Hettich, Frank & Schmidt, Carsten
- 00/16 Data-driven estimation of semiparametric fractional autoregressive models
by Beran, Jan & Feng, Yuanhua
- 00/15 A robust data-driven version of the Berlin Method
by Heiler, Siegfried & Feng, Yuanhua
- 00/14 Do Forecasters use Monetary Models? An Empirical Analysis of Exchange Rate Expectations
by Schröder, Michael & Dornau, Robert
- 00/13 Optimal Control of Linear Stochastic Systems with Singular Costs, and the Mean-Variance Hedging Problem with Stochastic Market Conditions
by Kohlmann, Michael & Shanjian, Tang
- 00/12 Bounded Variation Singular Stochastic Control and Associated Dynkin Game
by Boetius, Frederik
- 00/11 Neyman-Pearson Hedging and Dynamic Measures of Risk
by Kohlmann, Michael
- 00/10 Exports and Hedging Exchange Rate Risks: The Multi-Country Case
by Adam-Müller, Axel F. A.
- 00/09 On the Relationship of Information Processes and Asset Price Processes
by Lüders, Erik & Peisl, Bernhard
- 00/08 BSDES With Stochastic Lipschitz Condition
by Bender, Christian & Kohlmann, Michael
- 00/07 Convergence of Arbitrage-free Discrete Time Markovian Market Models
by Leitner, Johannes
- 00/06 A Note on Mean-Variance Hedging of Non-Attainable Claims
by Kohlmann, Michael & Peisl, Bernhard
- 00/05 Does the Governed Corporation Perform Better? Governance Structures and Corporate Performance in Germany
by Lehmann, Erik & Weigand, Jürgen
- 00/04 Do Lending Relationships Matter? Evidence from Bank Survey Data in Germany
by Lehmann, Erik & Neuberger, Doris
- 00/03 Finite Sample Properties of One-step, Two-step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation
by Inkmann, Joachim
- 00/02 Horizontal and Vertical R&D Cooperation
by Inkmann, Joachim
- 00/01 Gefahren kurzsichtigen Risikomanagements durch Value At Risk
by Franke, Günter
1999
- 99/19 Volatility Estimation on the Basis of Price Intensities
by Gerhard, Frank & Hautsch, Nikolaus
- 99/18 SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices
by Beran, Jan & Feng, Yuanhua & Franke, Günter & Hess, Dieter & Ocker, Dirk
- 99/17 Tacit Collusion under Destination - and Origin-Based Commodity Taxation
by Haufler, Andreas & Schielderup, Guttorm
- 99/16 SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity
by Beran, Jan
- 99/15 Capital Tax Competition with Inefficient Government Spending
by Eggert, Wolfgang
- 99/14 Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models
by Beran, Jan & Ocker, Dirk
- 99/13 SEMIFAR Forecasts, with Applications to Foreign Exchange Rates
by Beran, Jan & Ocker, Dirk
- 99/12 Hedging Price Risk When Real Wealth Matters
by Adam-Müller, Axel F. A.
- 99/11 The Informed and Uninformed Agent's Price of a Contingent Claim
by Kohlmann, Michael & Zhou, Xun Yu
- 99/10 (Reflected) Backward Stochastic Differential Equations and Contingent Claims
by Kohlmann, Michael
- 99/09 Backward Stochastic Differential Equations and Stochastic Controls: A New Perspective
by Kohlmann, Michael & Zhou, Xun Yu
- 99/08 Local Polynomial Estimation with a FARIMA-GARCH Error Process
by Beran, Jan & Feng, Yuanhua
- 99/07 Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors
by Beran, Jan & Feng, Yuanhua
- 99/06 The Service Sentiment Indicator - A Business Climate Indicator for the German Business - Related Services Sector
by Kaiser, Ulrich & Buscher, Herbert S.
- 99/05 A Survey on Nonparametric Time Series Analysis
by Heiler, Siegfried
- 99/04 Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
by Inkmann, Joachim
- 99/03 Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
by Hautsch, Nikolaus
- 99/02 International repercussions of direct taxes
by Eggert, Wolfgang
- 99/01 When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel
by Franke, Günter & Stapleton, Richard C. & Subrahmanyam, Marti G.
1998
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