SFB 373 Discussion Papers

From Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
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2003,54: Implied volatility string dynamics

Matthias Fengler, Wolfgang Härdle and Enno Mammen

2003,53: Distribution-Invariant Dynamic Risk Measures

Stefan Weber

2003,51: On L2-stability of solutions of linear stochastic delay differential equations

Hagen Gilsing

2003,50: A Heliocentric Journey into Germany´s Great Depression

Mark Weder

2003,49: Taylor Rules and Macroeconomic Instability or How the Central Bank Can Pre-empt Sunspot Expectations

Mark Weder

2003,48: Stock Performance around Share Repurchase Announcements in Germany

Richard Stehle and Udo Seifert

2003,47: A Note on Optimal Stopping in Models with Delay

Pavel V. Gapeev and M. Reiß

2003,46: American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View

Peter Bank and Hans Föllmer

2003,45: On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay

Uwe Küchler and Pavel V. Gapeev

2003,44: On Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes

Pavel V. Gapeev and Uwe Küchler

2003,43: Inside The Black Box of Temporary Help Agencies

Michael Kvasnicka

2003,42: Unpaid overtime in Germany: differences between East and West

Silke Anger

2003,41: Sticky Information vs. Sticky Prices: A Horse Race in a DSGE Framework

Mathias Trabandt

2003,40: Uncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countries

Oliver Holtemöller

2003,38: Nonparametric and Semiparametric Estimation of Additive Models with both Discrete and Continuous Variables under Dependence

Christine Camlong-Viot, Juan M. Rodríguez-Póo and Philippe Vieu

2003,37: Asymptotic theory for M-estimators of boundaries

Keith Knight

2003,36: About sense and nonsense of non- and semiparametric analysis in applied econometrics

Stefan Sperlich

2003,35: MD*Book and XQC/XQS - an Architecture for Reproducible Research

Sigbert Klinke and Heiko Lehmann

2003,34: Confidence Intervals for State Price Densities

Zdeněk Hlávka

2003,33: How to Improve the Performances of DEA/FDH Estimators in the Presence of Noise?

Leopold Simar

2003,32: Regression quantiles with errors-in-variables

D. A. Ioannides and E. Matzner-Lober

2003,31: Consistent Testing for Stochastic Dominance under General Sampling Schemes

Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang

2003,30: Some Convergence Problems On Heavy Tail Estimation Using Upper Order Statistics For Generalized Pareto and Lognormal Distributions

Raul Hernandez-Molinar and John Lefante

2003,29: Modeling the Learning from Repeated Samples: A Generalized Cross Entropy Approach

Rosa Bernardini Papalia

2003,28: Asymptotic properties of model selection procedures in linear regression

Bernd Droge

2003,27: On Representative Trust

Charles Bellemare and Sabine Kröger

2003,26: Computational Statistics with Spreadsheets Towards Efficiency, Reproducibility and Security

Gökhan Aydınlı, Wolfgang Karl Härdle and E. Neuwirth

2003,25: Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface

Matthias Fengler and Qihua Wang

2003,24: On Representative Trust

Charles Bellemare and Sabine Kröger

2003,23: XploRe Quantlet Client: Web Service for Mathematical and Statistical Computing

Heiko Lehmann

2003,22: Electronic books for experts and users

Zdeněk Hlávka

2003,21: A Market Basket Analysis Based on the Multivariate MNL Model

Yasemin Boztug and Lutz Hildebrandt

2003,20: E-learning, e-teaching of statistics: A new challenge

Gökhan Aydınlı, Wolfgang Karl Härdle and Bernd Rönz

2003,19: Immobilienbewertung mit dem Realoptionsverfahren: Eine Umsetzungsstudie

Steffen Brenner, Wolfgang Karl Härdle and Rainer Schulz

2003,18: Adaptive estimation for affine stochastic delay differential equations

Markus Reiß

2003,17: Transitional Dynamics in the Uzawa-Lucas Model of Endogenous Growth

Markus Reiß and Dirk Bethmann

2003,16: Euler-Maruyama and Milstein approximations for stochastic functional differential equations with distributed memory term

Evelyn Buckwar

2003,15: Nonparametric Methods in Continuous-Time Finance: A Selective Review

Zongwu Cai and Yongmiao Hong

2003,14: Wann sind falsche VaR-Modelle dennoch adäquat?

Wolfgang Karl Härdle, Zdeněk Hlávka and G. Stahl

2003,13: Inflation Expectations in the EU: Results from Survey Data

Hannah Nielsen

2003,12: On integrals with respect to Levy processes

Uwe Küchler

2003,11: Cyclical correlations, credit contagion, and portfolio losses

Kay Giesecke and Stefan Weber

2003,10: Correlation Risk Premia for Multi-Asset Equity Options

Matthias Fengler and Peter Schwendner

2003,9: Noise Induced Oscillation in Solutions of Stochastic Delay Differential Equations

John A. D. Appleby and Evelyn Buckwar

2003,8: On oscillations of the geometric Brownian motion with time delayed drift

Uwe Küchler and Alexander Gushchin

2003,7: Trending Time-Varying Coefficient Models With Serially Correlated Errors

Zongwu Cai

2003,6: Markovian short rates in a forward rate model with a general class of Lévy processes

Uwe Küchler and Eva Naumann

2003,5: Selfinformative Limits of Bayes Estimates and Generalized Maximum Likelihood

Olaf Bunke and Jan Johannes

2003,4: Testing for vector autoregressive dynamics under heteroskedasticity

Christian M. Hafner and Helmut Herwartz

2003,3: Forecasting sectoral trade growth under flexible exchange rates

Helmut Herwartz and Henning Weber