CoFE Discussion Papers

From University of Konstanz, Center of Finance and Econometrics (CoFE)
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00/33: Taxation of Investment and Finance in an International Setting: Implications for Tax Competition

Jack Mintz

00/32: Commodity Taxation and international Trade in Imperfect Markets

Andreas Haufler, Guttorm Schjelderup and Frank Stähler

00/31: Deutsche Finanzmarktregulierung nach dem Zweiten Weltkrieg zwischen Risikoschutz und Wettbewerbssicherung

Günter Franke

00/30: Recent Advances in Backward Stochastics Riccati Equations and Their Applications

Michael Kohlmann and Shanjian Tang

00/29: Multi-Dimensional Backward Stochastic Riccati Equations, and Applications

Michael Kohlmann and Shanjian Tang

00/28: Einfache ökonometrische Verfahren für die Kreditrisikomessung

Ulrich Kaiser and Andrea Szczesny

00/27: Do companies exploit accounting rules for broad-based stock option plans? A case study

Dieter Hess and Eric Lueders

00/26: Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging

Michael Kohlmann and Shanjian Tang

00/25: Stichprobenziehung nach dem Prinzip des "Schiffeversenkens" - Über eigentümliche Hochrechnungspraktiken des Bundesamtes für Finanzen

Roland Jeske

00/24: Efficient Bargaining and the Skill-Structure of Wages and Employment

Ulrich Kaiser and Winfried Pohlmeier

00/23: Is tax harmonization useful?

Wolfgang Eggert and Bernd Genser

00/22: Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models

Jan Beran and Dirk Ocker

00/21: Tests and confidence intervals for the location parameter in orthogonal FEXP models

Jan Beran

00/20: Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model

Frank Gerhard and Nikolaus Hautsch

00/19: Nonparametric M-Estimation with Long-Memory Errors

Jan Beran, Sucharita Gosh and Philipp Sibbertsen

00/18: On robust local polynomial estimation with long-memory errors

Jan Beran, Yuanhua Feng, Sucharita Gosh and Philipp Sibbertsen

00/17: Die deutsche Steuerbelastung im internationalen Vergleich

Frank Hettich and Carsten Schmidt

00/16: Data-driven estimation of semiparametric fractional autoregressive models

Jan Beran and Yuanhua Feng

00/15: A robust data-driven version of the Berlin Method

Siegfried Heiler and Yuanhua Feng

00/14: Do Forecasters use Monetary Models? An Empirical Analysis of Exchange Rate Expectations

Michael Schröder and Robert Dornau

00/13: Optimal Control of Linear Stochastic Systems with Singular Costs, and the Mean-Variance Hedging Problem with Stochastic Market Conditions

Michael Kohlmann and Tang Shanjian

00/12: Bounded Variation Singular Stochastic Control and Associated Dynkin Game

Frederik Boetius

00/11: Neyman-Pearson Hedging and Dynamic Measures of Risk

Michael Kohlmann

00/10: Exports and Hedging Exchange Rate Risks: The Multi-Country Case

Axel F. A. Adam-Müller

00/09: On the Relationship of Information Processes and Asset Price Processes

Erik Lüders and Bernhard Peisl

00/08: BSDES With Stochastic Lipschitz Condition

Christian Bender and Michael Kohlmann

00/07: Convergence of Arbitrage-free Discrete Time Markovian Market Models

Johannes Leitner

00/06: A Note on Mean-Variance Hedging of Non-Attainable Claims

Michael Kohlmann and Bernhard Peisl

00/05: Does the Governed Corporation Perform Better? Governance Structures and Corporate Performance in Germany

Erik Lehmann and Jürgen Weigand

00/04: Do Lending Relationships Matter? Evidence from Bank Survey Data in Germany

Erik Lehmann and Doris Neuberger

00/03: Finite Sample Properties of One-step, Two-step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation

Joachim Inkmann

00/02: Horizontal and Vertical R&D Cooperation

Joachim Inkmann

00/01: Gefahren kurzsichtigen Risikomanagements durch Value At Risk

Günter Franke

99/19: Volatility Estimation on the Basis of Price Intensities

Frank Gerhard and Nikolaus Hautsch

99/18: SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices

Jan Beran, Yuanhua Feng, Günter Franke, Dieter Hess and Dirk Ocker

99/17: Tacit Collusion under Destination - and Origin-Based Commodity Taxation

Andreas Haufler and Guttorm Schielderup

99/16: SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity

Jan Beran

99/15: Capital Tax Competition with Inefficient Government Spending

Wolfgang Eggert

99/14: Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models

Jan Beran and Dirk Ocker

99/13: SEMIFAR Forecasts, with Applications to Foreign Exchange Rates

Jan Beran and Dirk Ocker

99/12: Hedging Price Risk When Real Wealth Matters

Axel F. A. Adam-Müller

99/11: The Informed and Uninformed Agent's Price of a Contingent Claim

Michael Kohlmann and Xun Yu Zhou

99/10: (Reflected) Backward Stochastic Differential Equations and Contingent Claims

Michael Kohlmann

99/09: Backward Stochastic Differential Equations and Stochastic Controls: A New Perspective

Michael Kohlmann and Xun Yu Zhou

99/08: Local Polynomial Estimation with a FARIMA-GARCH Error Process

Jan Beran and Yuanhua Feng

99/07: Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors

Jan Beran and Yuanhua Feng

99/06: The Service Sentiment Indicator - A Business Climate Indicator for the German Business - Related Services Sector

Ulrich Kaiser and Herbert S. Buscher

99/05: A Survey on Nonparametric Time Series Analysis

Siegfried Heiler

99/04: Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators

Joachim Inkmann

99/03: Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions

Nikolaus Hautsch

99/02: International repercussions of direct taxes

Wolfgang Eggert

99/01: When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel

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

98/01: What a Difference a Day Makes: On the Common Market Microstructure of Trading Days

Frank Gerhard, Dieter Hess and Winfried Pohlmeier