CoFE Discussion Papers

From University of Konstanz, Center of Finance and Econometrics (CoFE)
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08/11: Importance sampling for backward SDEs

Christian Bendera and Thilo Moseler

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

Yuanhua Feng and Jan Beran

08/09: Recovering delisting returns of hedge funds

James E. Hodder, Jens Carsten Jackwerth and Olga Kolokolova

08/08: Are options on index futures profitable for risk averse investors? Empirical evidence

Jens Carsten 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 Carsten Jackwerth and James E. 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

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 C. Stapleton

07/10: Information asymmetries and securitization design

Günter Franke, Markus Herrmann and Thomas Weber

07/09: Securitisation of mezzanine capital in Germany

Günter Franke and Julia Hein

07/08: Two-dimensional risk neutral valuation relationships for the pricing of options

Günter Franke, James Huang and Richard C. Stapleton

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 Giuseppe 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 Bień-Barkowska, Ingmar Nolte and Winfried Pohlmeier

07/03: Customer trading in the foreign exchange market empirical evidence from an internet trading platform

Sandra Nolte (Lechner) and Ingmar Nolte

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 Bień-Barkowska, Ingmar Nolte and Winfried Pohlmeier

06/05: Return predictability and stock market crashes in a simple rational expectation models

Günter Franke and Erik Lüders

06/04: Estimating liquidity using information on the multivariate trading process

Katarzyna Bień-Barkowska, Ingmar Nolte and Winfried Pohlmeier

06/03: A trade-by-trade surprise measure and its relation to observed spreads on 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

George Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis

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

George Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis

05/05: Return predictability and stock market crashes in a simple rational expectations model

Erik Lüders and Günter Franke

05/04: Default risk sharing between banks and markets: The contribution of collateralized debt obligations

Günter Franke and Jan Krahnen

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

Günter Franke and Christian Hopp

05/02: Incentive contracts and hedge fund management

James E. Hodder and Jens Carsten Jackwerth

05/01: Employee stock options: Much more valuable than you thought

James E. Hodder and Jens Carsten Jackwerth

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