CoFE Discussion Paper

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08-11: Importance sampling for backward SDEs

Thilo Moseler and Christian Bender

08-10: Filtered Log-periodogram Regression of long memory processes

Jan Beran and Yuanhua Feng

08-09: Recovering Delisting Returns of Hedge Funds

Jens Jackwerth, James Hodder and Olga Kolokolova

08-08: Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Jens Jackwerth, George Constantinides, Michal Czerwonko and Stylianos Perrakis

08-07: Managerial Responses to Incentives: Control of Firm Risk, Derivative Pricing Implications, and Outside Wealth Management

Jens Jackwerth and James Hodder

08-06: Modelling and Forecasting Multivariate Realized Volatility

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08-05: A Boltzmann-type Approach to the Formation of Wealth Distribution Curves

Bertram Düring, Daniel Matthes and Giuseppe Toscani

08-04: Asset Pricing Under Information with Stochastic Volatility

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08-03: Kinetic Equations modelling Wealth Redistribution: A comparison of Approaches

Bertram Düring, Daniel Matthes and Giuseppe Toscani

08-02: International and Domestic Trading and Wealth Distribution

Bertram Düring and Giuseppe Toscani

08-01: A nonparametric regression cross spectrum for multivariate time series

Jan Beran and Mark A. Heiler

07-15: Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors

Yuanhua Feng and Jan Beran

07-14: Modelling financial time series with SEMIFAR-GARCH model

Yuanhua Feng, Jan Beran and Keming Yu

07-13: On parameter estimation for locally stationary long-memory processes

Jan Beran

07-12: Estimation of a nonparametric regression spectrum for multivariate time series

Jan Beran and Mark A. Heiler

07-11: Non-Market Wealth, Background Risk and Portfolio Choice

Günter Franke, Harris Schlesinger and Richard Stapleton

07-10: Information asymmetries and securitization design

Günter Franke, Markus Herrmann and Thomas Weber

07-08: Two-Dimensional Risk-Neutral Valuation Relationships for the Pricing of Options

Günter Franke, James Huang and Richard Stapleton

07-07: Securitisation of Mezzanine Capital in Germany

Günter Franke and Julia Hein

07-07: Estimating High-Frequency Based (Co-) Variances: A Unified Approach

Ingmar Nolte and Valeri Voev

07-06: Hydrodynamics from kinetic models of conservative economies

Bertram Düring and G. Toscani

07-05: Dual Income Taxation as a Stepping Stone Towards a European Corporate Income Tax

Bernd Genser and Dirk Schindler

07-04: An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics

Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier

07-03: Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform

Ingmar Nolte and Sandra Lechner

07-02: Panel Intensity Models with Latent Factors: An Application to the Trading Dynamics on the Foreign Exchange Market¤

Ingmar Nolte and Valeri Voev

07-01: Dynamic Modeling of Large Dimensional Covariance Matrices

Valeri Voev

06-09: Wieweit tragen rationale Modelle in der Finanzmarktforschung?

Günter Franke and Thomas Weber

06-08: Wie werden Collateralized Debt Obligation-Transaktionen gestaltet?

Günter Franke and Thomas Weber

06-07: Anforderungen in Zeiten eines beschleunigten „industriellen“ Strukturwandels: Integrierte Finanzwertschöpfung

Günter Franke

06-06: A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics

Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier

06-05: Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model¤

Günter Franke and Erik Lüders

06-04: Estimating Liquidity Using Information on the Multivariate Trading Process

Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier

06-03: A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreadson the NYSE

Valeri Voev

06-02: A Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing

Bertram Düring, Ansgar Jüngel and S. Volkwein

06-01: Company Tax Reform in Europe and its Effect on Collusive Behavior

Dirk Schindler and Guttorm Schjelderup

05-11: What Can We Expect From the New Trade of C02-Allowances?

Günter Franke

05-10: The dynamics of overconfidence: Evidence from stock market forecasters

Richard Deaves, Erik Lüders and Michael Schröder

05-09: Mispricing of S&P 500 Index Options

Jens Jackwerth, George M. Constantinaides and Stylianos Perrakis (George M. Constantinides)

05-08: Incremental Risk Vulnerability

Günter Franke, Richard C. Stapleton and Marti G. Subrahmanyam

05-07: An Experimental Test of the Impact of Overconfidence and Gender on Trading Activity

Richard Deaves, Erik Lüders and Guo Ying Luo

05-06: Option Pricing: Real and Risk-Neutral Distributions

Jens Jackwerth, George M. Constantinaides and Stylianos Perrakis (George M. Constantinides)

05-05: Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model

Günter Franke and Erik Lüders

05-04: Default risk sharing between banks and markets: the contribution of collateralized debt obligations

Günter Franke and Jan Pieter Krahnen

05-03: M&A Transaktionen: Fluch und Segen der Realoptionstheorie

Günter Franke and Christian Hopp

05-02: Incentive Contracts and Hedge Fund Management

Jens Jackwerth and James E. Hodder

05-01: Employee Stock Options: Much More Valuable Than You Thought

Jens Jackwerth and James E. Hodder

04-08: Transformation nicht-gehandelter in handelbare Kreditrisiken

Günter Franke

04-07: Präferenzfreie Strategien zum Absichern von Wechselkursrisiken

Günter Franke

04-06: Might a Securities Transactions Tax Mitigate Excess Volatility?: Some Evidence From the Literature

Markus Haberer

04-05: Why Do Asset Prices Not Follow Random Walks?

Günter Franke and Erik Lüders