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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 Downloads
Matthias Fengler, Wolfgang Härdle and Enno Mammen
2003,53: Distribution-Invariant Dynamic Risk Measures Downloads
Stefan Weber
2003,51: On L2-stability of solutions of linear stochastic delay differential equations Downloads
Hagen Gilsing
2003,50: A Heliocentric Journey into Germany´s Great Depression Downloads
Mark Weder
2003,49: Taylor Rules and Macroeconomic Instability or How the Central Bank Can Pre-empt Sunspot Expectations Downloads
Mark Weder
2003,48: Stock Performance around Share Repurchase Announcements in Germany Downloads
Richard Stehle and Udo Seifert
2003,47: A Note on Optimal Stopping in Models with Delay Downloads
Pavel V. Gapeev and M. Reiß
2003,46: American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View Downloads
Peter Bank and Hans Föllmer
2003,45: On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay Downloads
Uwe Küchler and Pavel V. Gapeev
2003,44: On Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes Downloads
Pavel V. Gapeev and Uwe Küchler
2003,43: Inside The Black Box of Temporary Help Agencies Downloads
Michael Kvasnicka
2003,42: Unpaid overtime in Germany: differences between East and West Downloads
Silke Anger
2003,41: Sticky Information vs. Sticky Prices: A Horse Race in a DSGE Framework Downloads
Mathias Trabandt
2003,40: Uncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countries Downloads
Oliver Holtemöller
2003,38: Nonparametric and Semiparametric Estimation of Additive Models with both Discrete and Continuous Variables under Dependence Downloads
Camlong-Viot, Christine, Rodríguez-Póo, Juan M. and Philippe Vieu
2003,37: Asymptotic theory for M-estimators of boundaries Downloads
Keith Knight
2003,36: About sense and nonsense of non- and semiparametric analysis in applied econometrics Downloads
Stefan Sperlich
2003,35: MD*Book and XQC/XQS - an Architecture for Reproducible Research Downloads
Sigbert Klinke and Heiko Lehmann
2003,34: Confidence Intervals for State Price Densities Downloads
Zdeněk Hlávka
2003,33: How to Improve the Performances of DEA/FDH Estimators in the Presence of Noise? Downloads
Leopold Simar
2003,32: Regression quantiles with errors-in-variables Downloads
D. A. Ioannides and Matzner-Lober, E.
2003,31: Consistent Testing for Stochastic Dominance under General Sampling Schemes Downloads
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 Downloads
Hernandez-Molinar, Raul and John Lefante
2003,29: Modeling the Learning from Repeated Samples: A Generalized Cross Entropy Approach Downloads
Rosa Bernardini Papalia
2003,28: Asymptotic properties of model selection procedures in linear regression Downloads
Bernd Droge
2003,27: On Representative Trust Downloads
Charles Bellemare and Sabine Kröger
2003,26: Computational Statistics with Spreadsheets Towards Efficiency, Reproducibility and Security Downloads
Gökhan Aydınlı, Wolfgang Härdle and E. Neuwirth
2003,25: Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface Downloads
Matthias Fengler and Qihua Wang
2003,24: On Representative Trust Downloads
Charles Bellemare and Sabine Kröger
2003,23: XploRe Quantlet Client: Web Service for Mathematical and Statistical Computing Downloads
Heiko Lehmann
2003,22: Electronic books for experts and users Downloads
Zdeněk Hlávka
2003,21: A Market Basket Analysis Based on the Multivariate MNL Model Downloads
Yasemin Boztug and Lutz Hildebrandt
2003,20: E-learning, e-teaching of statistics: A new challenge Downloads
Gökhan Aydınlı, Wolfgang Härdle and Bernd Rönz
2003,19: Immobilienbewertung mit dem Realoptionsverfahren: Eine Umsetzungsstudie Downloads
Steffen Brenner, Wolfgang Härdle and Rainer Schulz
2003,18: Adaptive estimation for affine stochastic delay differential equations Downloads
Markus Reiß
2003,17: Transitional Dynamics in the Uzawa-Lucas Model of Endogenous Growth Downloads
Markus Reiß and Dirk Bethmann
2003,16: Euler-Maruyama and Milstein approximations for stochastic functional differential equations with distributed memory term Downloads
Evelyn Buckwar
2003,15: Nonparametric Methods in Continuous-Time Finance: A Selective Review Downloads
Zongwu Cai and Yongmiao Hong
2003,14: Wann sind falsche VaR-Modelle dennoch adäquat? Downloads
Wolfgang Härdle, Zdeněk Hlávka and G. Stahl
2003,13: Inflation Expectations in the EU: Results from Survey Data Downloads
Hannah Nielsen
2003,12: On integrals with respect to Levy processes Downloads
Uwe Küchler
2003,11: Cyclical correlations, credit contagion, and portfolio losses Downloads
Kay Giesecke and Stefan Weber
2003,10: Correlation Risk Premia for Multi-Asset Equity Options Downloads
Matthias Fengler and Peter Schwendner
2003,9: Noise Induced Oscillation in Solutions of Stochastic Delay Differential Equations Downloads
John A. D. Appleby and Evelyn Buckwar
2003,8: On oscillations of the geometric Brownian motion with time delayed drift Downloads
Uwe Küchler and Alexander Gushchin
2003,7: Trending Time-Varying Coefficient Models With Serially Correlated Errors Downloads
Zongwu Cai
2003,6: Markovian short rates in a forward rate model with a general class of Lévy processes Downloads
Uwe Küchler and Eva Naumann
2003,5: Selfinformative Limits of Bayes Estimates and Generalized Maximum Likelihood Downloads
Olaf Bunke and Jan Johannes
2003,4: Testing for vector autoregressive dynamics under heteroskedasticity Downloads
Christian Hafner and Helmut Herwartz
2003,3: Forecasting sectoral trade growth under flexible exchange rates Downloads
Helmut Herwartz and Henning Weber
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