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CoFE Discussion Papers

From University of Konstanz, Center of Finance and Econometrics (CoFE)
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08/11: Importance sampling for backward SDEs Downloads
Christian Bendera and Thilo Moseler
08/10: Filtered Log-periodogram Regression of long memory processes Downloads
Yuanhua Feng and Jan Beran
08/09: Recovering delisting returns of hedge funds Downloads
James E. Hodder, Jens Carsten Jackwerth and Olga Kolokolova
08/08: Are options on index futures profitable for risk averse investors? Empirical evidence Downloads
Jens Carsten Jackwerth, George M. Constantinides, Michal Czerwonko and Stylianos Perrakis
08/07: Managerial responses to incentives: Control of firm risk, derivative pricing implications, and outside wealth management Downloads
Jens Carsten Jackwerth and James E. Hodder
08/06: Modelling and forecasting multivariate realized volatility Downloads
Roxana Chiriac and Valeri Voev
08/05: A Boltzmann-type approach to the formation of wealth distribution curves Downloads
Bertram Düring, Daniel Matthes and Giuseppe Toscani
08/04: Asset pricing under information with stochastic volatility Downloads
Bertram Düring
08/03: Kinetic equations modelling wealth redistribution: A comparison of approaches Downloads
Bertram Düring, Daniel Matthes and Giuseppe Toscani
08/02: International and domestic trading and wealth distribution Downloads
Bertram Düring and Giuseppe Toscani
08/01: A nonparametric regression cross spectrum for multivariate time series Downloads
Jan Beran
07/15: Optimal convergence rates in nonparametric regression with fractional time series errors Downloads
Yuanhua Feng and Jan Beran
07/14: Modelling financial time series with SEMIFAR-GARCH model Downloads
Yuanhua Feng, Jan Beran and Keming Yu
07/13: On parameter estimation for locally stationary long-memory processes Downloads
Jan Beran
07/12: Estimation of a nonparametric regression spectrum for multivariate time series Downloads
Jan Beran and Mark A. Heiler
07/11: Non-market wealth, background risk and portfolio choice Downloads
Günter Franke, Harris Schlesinger and Richard C. Stapleton
07/10: Information asymmetries and securitization design Downloads
Günter Franke, Markus Herrmann and Thomas Weber
07/09: Securitisation of mezzanine capital in Germany Downloads
Günter Franke and Julia Hein
07/08: Two-dimensional risk neutral valuation relationships for the pricing of options Downloads
Günter Franke, James Huang and Richard C. Stapleton
07/07: Estimating high-frequency based (co-) variances: A unified approach Downloads
Ingmar Nolte and Valeri Voev
07/06: Hydrodynamics from kinetic models of conservative economies Downloads
B. Düring and Giuseppe Toscani
07/05: Dual income taxation as a stepping stone towards a European corporate income tax Downloads
Bernd Genser and Dirk Schindler
07/04: An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics Downloads
Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier
07/03: Customer trading in the foreign exchange market empirical evidence from an internet trading platform Downloads
Sandra Lechner and Ingmar Nolte
07/02: Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market Downloads
Ingmar Nolte and Valeri Voev
07/01: Dynamic modeling of large dimensional covariance matrices Downloads
Valeri Voev
06/09: Wieweit tragen rationale Modelle in der Finanzmarktforschung? Downloads
Günter Franke and Thomas Weber
06/08: Wie werden Collateralized Debt Obligation-Transaktionen gestaltet? Downloads
Günter Franke and Thomas Weber
06/07: Anforderungen in Zeiten eines beschleunigten "industriellen" Strukturwandels: Integrierte Finanzwertschöpfung Downloads
Günter Franke
06/06: A Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics Downloads
Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier
06/05: Return predictability and stock market crashes in a simple rational expectation models Downloads
Günter Franke and Erik Lüders
06/04: Estimating liquidity using information on the multivariate trading process Downloads
Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier
06/03: A trade-by-trade surprise measure and its relation to observed spreads on the NYSE Downloads
Valeri Voev
06/02: A sequential quadratic programming method for volatility estimation in option pricing Downloads
Bertram Düring, Ansgar Jüngel and S. Volkwein
06/01: Company tax reform in Europe and its effect on collusive behavior Downloads
Dirk Schindler and Guttorm Schjelderup
05/11: What can we expect from the new trade of C02-allowances? Downloads
Günter Franke
05/10: The dynamics of overconfidence: Evidence from stock market forecasters Downloads
Richard Deaves, Erik Lüders and Michael Schröder
05/09: Mispricing of S&P 500 index options Downloads
George M. Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis
05/08: Incremental risk vulnerability Downloads
Günter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
05/07: An experimental test of the impact of overconfidence and gender on trading activity Downloads
Richard Deaves, Erik Lüders and Guo Ying Luo
05/06: Option pricing: Real and risk-neutral distributions Downloads
George M. Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis
05/05: Return predictability and stock market crashes in a simple rational expectations model Downloads
Erik Lüders and Günter Franke
05/04: Default risk sharing between banks and markets: The contribution of collateralized debt obligations Downloads
Günter Franke and Jan Pieter Krahnen
05/03: M&A-Transaktionen: Fluch und Segen der Realoptionstheorie Downloads
Günter Franke and Christian Hopp
05/02: Incentive contracts and hedge fund management Downloads
James E. Hodder and Jens Carsten Jackwerth
05/01: Employee stock options: Much more valuable than you thought Downloads
James E. Hodder and Jens Carsten Jackwerth
04/08: Transformation nicht-gehandelter in handelbare Kreditrisiken Downloads
Günter Franke
04/07: Präferenzfreie Strategien zum Absichern von Wechselkursrisiken Downloads
Günter Franke
04/06: Might a Securities Transactions Tax Mitigate Excess Volatility? Some Evidence From the Literature Downloads
Markus Haberer
04/05: Why Do Asset Prices Not Follow Random Walks? Downloads
Günter Franke and Erik Lüders
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