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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
Roxana Chiriac and Valeri Voev
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
Bertram Düring
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