CoFE Discussion Paper

from Center of Finance and Econometrics, University of Konstanz
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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 Carsten 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 Carsten 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 Carsten Jackwerth and James E. Hodder

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

Jens Carsten 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

04-04: Conditionally parametric fits for CAPM betas

Klaus Abberger

04-03: A simple graphical method to explore tail-dependence in stock-return pairs

Klaus Abberger

04-02: Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation

Bertram Düring, Michel Fournié and Ansgar Jüngel

04-01: A Quasilinear Parabolic Equation with Quadratic Growth of the Gradient modeling Incomplete Financial Markets

Bertram Düring and Ansgar Jüngel

03-11: Optimal Income Taxation with a Risky Asset – The Triple Income Tax

Dirk Schindler

03-10: Incentive Contracts and Hedge Fund Management: A Numerical Evaluation Procedure

Jens Carsten Jackwerth and James E. Hodder

03-09: Portfolio Choice and Transactions Taxes

Markus Haberer

03-08: Kapitalmarktverfassung, Managerentlohnung und Bilanzpolitik

Günter Franke

03-07: The Taxation of Financial Capital under Asymmetric Information and the Tax-Competition Paradox

Wolfgang Eggert and Martin Kolmar

03-06: Double Taxation, Tax Credits and the Information Exchange Puzzle

Wolfgang Eggert

03-05: Multiplicative Background Risk

Günter Franke, Harris Schlesinger and Richard C. Stapleton

03-04: Schätzung ökonometrischer Modelle auf der Grundlage anonymisierter Daten

Winfried Pohlmeier and Sandra Lechner

03-03: A Dynamic Integer Count Data Model for Financial Transaction Prices

Winfried Pohlmeier and Roman Liesenfeld

03-02: Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors kernel dependent function, bandwidth selection

Yuanhua Feng

03-01: Some Criticism of the Tobin Tax

Markus Haberer