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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 Downloads
Klaus Abberger
04/03: A simple graphical method to explore tail-dependence in stock-return pairs Downloads
Klaus Abberger
04/02: Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation Downloads
Michel Fournié, Bertram Düring and Ansgar Jüngel
04/01: A Quasilinear Parabolic Equation with Quadratic Growth of the Gradient modeling Incomplete Financial Markets Downloads
Bertram Düring and Ansgar Jüngel
03/11: Optimal Income Taxation with a Risky Asset: The Triple Income Tax Downloads
Dirk Schindler
03/10: Incentive Contracts and Hedge Fund Management: A Numerical Evaluation Procedure Downloads
Jens Carsten Jackwerth and James E. Hodder
03/09: Portfolio Choice and Transactions Taxes Downloads
Markus Haberer
03/08: Kapitalmarktverfassung, Managerentlohnung und Bilanzpolitik Downloads
Günter Franke
03/07: The Taxation of Financial Capital under Asymmetric Information and the Tax-Competition Paradox Downloads
Wolfgang Eggert and Martin Kolmar
03/06: Double Taxation, Tax Credits and the Information Exchange Puzzle Downloads
Wolfgang Eggert
03/05: Multiplicative background risk Downloads
Günter Franke, Harris Schlesinger and Richard C. Stapleton
03/04: Schätzung ökonometrischer Modelle auf der Grundlage anonymisierter Daten Downloads
Winfried Pohlmeier and Sandra Lechner
03/03: A Dynamic Integer Count Data Model for Financial Transaction Prices Downloads
Winfried Pohlmeier and Roman Liesenfeld
03/02: Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors Downloads
Yuanhua Feng
03/01: Some Criticism of the Tobin Tax Downloads
Markus Haberer
02/18: Modelling Different Volatility Components Downloads
Yuanhua Feng
02/17: Shall We Tax the Risk Premium? Downloads
Dirk Schindler and Bodo Hilgers
02/16: Besteuerung des Nichts: Steuerarbitrage und das schwindende Aufkommen bei Kapitaleinkommensteuern Downloads
Dirk Schindler
02/15: ML-Estimation in the Location-Scale-Shape Model of the Generalized Logistic Distribution Downloads
Klaus Abberger
02/14: Exploring local dependence Downloads
Klaus Abberger
02/13: Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors Downloads
Jan Beran and Yuanhua Feng
02/12: Simultaneously Modelling Conditional Heteroskedasticity and Scale Change Downloads
Yuanhua Feng
02/11: Prediction of 0-1-events for short- and long-memory time series Downloads
Jan Beran
02/10: Pricing of cap-interest rates based on renewal processes Downloads
Jan Beran and Dirk Ocker
02/09: Smoothing ordered sparse contingency tables and the Chi-Squared test Downloads
Klaus Abberger
02/08: The impact of delivery risk on optimal production and futures hedging Downloads
Adam-Müller, Axel F. A. and Kit Pong Wong
02/07: Restricted Export Flexibility and Risk Management with Options and Futures Downloads
Adam-Müller, Axel F. A. and Kit Pong Wong
02/06: The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report Downloads
Nikolaus Hautsch and Dieter Hess
02/05: Modelling Intraday Trading Activity Using Box-Cox-ACD Models Downloads
Nikolaus Hautsch
02/04: An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series Downloads
Yuanhua Feng
02/03: Variable data driven bandwidth choice in nonparametric quantile regression Downloads
Klaus Abberger
02/02: Kernel smoothed prediction intervals for ARMA models Downloads
Klaus Abberger
02/01: Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors Downloads
Yuanhua Feng
01/12: Supplement to the Paper "Interative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties": Detailed Simulation Results Downloads
Jan Beran and Yuanhua Feng
01/11: Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties Downloads
Jan Beran and Yuanhua Feng
01/10: Penalizing function based bandwidth choice in nonparametric quantile regression Downloads
Klaus Abberger
01/09: Ist eine duale Einkommensteuer einfacher und gerechter als eine umfassende Einkommensteuer? Downloads
Bernd Genser
01/08: Heterogeneity of Investors and Asset Pricing in a Risk-Value World Downloads
Günter Franke and Martin Weber
01/07: High order compact finite difference schemes for a nonlinear Black-Scholes equation Downloads
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 Downloads
Adam-Müller, Axel F. A.
01/05: Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities Downloads
Nikolaus Hautsch and Winfried Pohlmeier
01/04: Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions Downloads
Nikolaus Hautsch and Stefan Klotz
01/03: Accounting for Nonresponse Heterogeneity in Panel Data Downloads
Joachim Inkmann
01/02: Der "Bankenschlüssel": Zum eingeschränkten Vorsteuerabzug bei Finanzdienstleistungsunternehmen in Deutschland Downloads
Carsten Schmidt
01/01: Surprises in U.S. macroeconomic releases: Determinants of their relative impact on T-Bond futures Downloads
Dieter Hess
00/38: Die deutsche Einkommenssteuer als synthetisches Besteuerungssystem - Eine Fiktion? Downloads
Dirk Schindler
00/37: Modifying the double smoothing bandwidth selector in nonparametric regression Downloads
Jan Beran, Yuanhua Feng and Siegfried Heiler
00/36: Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk Downloads
Günter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
00/35: Mean-Variance Efficiency and Intertemporal Price for Risk Downloads
Johannes Leitner
00/34: Utility Maximization and Duality Downloads
Johannes Leitner
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