CoFE Discussion Papers

From University of Konstanz, Center of Finance and Econometrics (CoFE)
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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

Michel Fournié, Bertram Düring 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 Nolte (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

Yuanhua Feng

03/01: Some Criticism of the Tobin Tax

Markus Haberer

02/18: Modelling Different Volatility Components

Yuanhua Feng

02/17: Shall We Tax the Risk Premium?

Dirk Schindler and Bodo Hilgers

02/16: Besteuerung des Nichts: Steuerarbitrage und das schwindende Aufkommen bei Kapitaleinkommensteuern

Dirk Schindler

02/15: ML-Estimation in the Location-Scale-Shape Model of the Generalized Logistic Distribution

Klaus Abberger

02/14: Exploring local dependence

Klaus Abberger

02/13: Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors

Jan Beran and Yuanhua Feng

02/12: Simultaneously Modelling Conditional Heteroskedasticity and Scale Change

Yuanhua Feng

02/11: Prediction of 0-1-events for short- and long-memory time series

Jan Beran

02/10: Pricing of cap-interest rates based on renewal processes

Jan Beran and Dirk Ocker

02/09: Smoothing ordered sparse contingency tables and the Chi-Squared test

Klaus Abberger

02/08: The impact of delivery risk on optimal production and futures hedging

Axel F. A. Adam-Müller and Kit Pong Wong

02/07: Restricted Export Flexibility and Risk Management with Options and Futures

Axel F. A. Adam-Müller and Kit Pong Wong

02/06: The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report

Nikolaus Hautsch and Dieter Hess

02/05: Modelling Intraday Trading Activity Using Box-Cox-ACD Models

Nikolaus Hautsch

02/04: An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series

Yuanhua Feng

02/03: Variable data driven bandwidth choice in nonparametric quantile regression

Klaus Abberger

02/02: Kernel smoothed prediction intervals for ARMA models

Klaus Abberger

02/01: Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors

Yuanhua Feng

01/12: Supplement to the Paper "Interative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties": Detailed Simulation Results

Jan Beran and Yuanhua Feng

01/11: Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties

Jan Beran and Yuanhua Feng

01/10: Penalizing function based bandwidth choice in nonparametric quantile regression

Klaus Abberger

01/09: Ist eine duale Einkommensteuer einfacher und gerechter als eine umfassende Einkommensteuer?

Bernd Genser

01/08: Heterogeneity of Investors and Asset Pricing in a Risk-Value World

Günter Franke and Martin Weber

01/07: High order compact finite difference schemes for a nonlinear Black-Scholes equation

Bertram Düring, Michel Fournié and Ansgar Jüngel

01/06: What to Do if Dollar is Not a Dollar? The Impact of Inflation Risk on Production and Risk Management

Axel F. A. Adam-Müller

01/05: Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities

Nikolaus Hautsch and Winfried Pohlmeier

01/04: Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions

Nikolaus Hautsch and Stefan Klotz

01/03: Accounting for Nonresponse Heterogeneity in Panel Data

Joachim Inkmann

01/02: Der "Bankenschlüssel": Zum eingeschränkten Vorsteuerabzug bei Finanzdienstleistungsunternehmen in Deutschland

Carsten Schmidt

01/01: Surprises in U.S. macroeconomic releases: Determinants of their relative impact on T-Bond futures

Dieter Hess

00/38: Die deutsche Einkommenssteuer als synthetisches Besteuerungssystem - Eine Fiktion?

Dirk Schindler

00/37: Modifying the double smoothing bandwidth selector in nonparametric regression

Jan Beran, Yuanhua Feng and Siegfried Heiler

00/36: Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk

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

00/35: Mean-Variance Efficiency and Intertemporal Price for Risk

Johannes Leitner

00/34: Utility Maximization and Duality

Johannes Leitner