SFB 373 Discussion Papers

From Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
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2003,2: On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven

Helmut Herwartz

2003,1: Robust adaptive estimation of dimension reduction space

Pavel Cizek and Wolfgang Härdle

2002,88: Smoothed L-estimation of regression function

Julien Tamine, Pavel Cizek and Wolfgang Härdle

2002,87: Winner-Loser-Effekte am deutschen Aktienmarkt

Stefan Daske

2002,86: Bidder preferences among auction institutions

Radosveta Ivanova-Stenzel and Tim Salmon

2002,85: Some crude approximation, calibration and estimation procedures for NIG-variates

Jostein Lillestöl

2002,84: E-learning / e-teaching of statistics: Students' and teachers' views

Wolfgang Härdle and Bernd Rönz

2002,83: Neuere Entwicklungen in der ökonometrischen Analyse aggregierter Zeitreihen

Juergen Wolters

2002,82: Empirical likelihood-based dimension reduction inference for linear error-in-responses models with validation study

Qihua Wang and Wolfgang Härdle

2002,81: On the minimax regret estimation of a restricted normal mean, and implications

Bernd Droge

2002,80: Comparison of model reduction methods for VAR processes

Ralf Brüggemann, Hans-Martin Krolzig and Helmut Lütkepohl

2002,79: Exploring credit data

Marlene Müller and Wolfgang Härdle

2002,78: R robustified additive nonparametric regression

Julien Tamine, Wolfgang Härdle and Lijian Yang

2002,77: Stationary equilibria in discounted stochastic games with weakly interacting players

Ulrich Horst

2002,76: Robust estimation with discrete explanatory variables

Pavel Cizek

2002,75: Estimation and testing for varying coefficients in additive models with marginal integration

Lijian Yang, Wolfgang Härdle and Byeong U. Park

2002,74: Stability of linear stochastic difference equations in controlled random environments

Ulrich Horst

2002,73: Credit contagion and aggregate losses

Kay Giesecke and Stefan Weber

2002,72: Fixed-term contracts in East and West Germany: Low wages, poor prospects?

Frances McGinnity and Antje Mertens

2002,71: A comparison of punishment rules in repeated public good games: An experimental study

Torsten Decker, Andreas Stiehler and Martin Strobel

2002,70: On the wages of temporary help service workers in Germany

Michael Kvasnicka and Axel Werwatz

2002,69: M robustified additive nonparametric regression

Julien Tamine, Wolfgang Härdle and Lijian Yang

2002,68: The effects of ignoring level shifts on systems cointegration tests

Carsten Trenkler

2002,67: Assessing the discriminatory power of credit scores

Holger Kraft, Gerald Kroisandt and Marlene Müller

2002,66: Further VAR evidence for the effectiveness of a credit channel in Germany

Oliver Holtemöller

2002,65: Notes on an endogenous growth model with two capital stocks i: The deterministic case

Dirk Bethmann

2002,64: Self-rated and changes in self-rated health as predictors of mortality: First evidence from german panel data

Johannes Schwarze, Hanfried H. Andersen and Silke Anger

2002,63: Nonparametric estimation of an additive model with a link function

Joel L. Horowitz and Enno Mammen

2002,62: Smoothed influence function: Another view at robust nonparametric regression

Julien Tamine

2002,61: Statistical inference for time-inhomogeneous volatility models

Danilo Mercurio and Vladimir G. Spokoiny

2002,60: Lyapunov exponents for linear delay equations in arbitrary phase spaces

Markus Riedle

2002,59: On lp-stability of numerical schemes for affine stochastic delay differential equations stochastic recurrance relations

Hagen Gilsing

2002,58: Bayes estimates in multivariate semiparametric linear models

Olaf Bunke

2002,57: Nonparametric estimation of scalar diffusions based on low frequency data is ill-posed

Emmanuel Gobet, Marc Hoffmann and Markus Reiß

2002,56: Semi-parametric estimation of generalized partially linear single-index models

Yingcun Xia and Wolfgang Härdle

2002,55: Real estate valuation according to standardized methods: An empirical analysis

Rainer Schulz

2002,54: Credit risk modeling and valuation: An introduction

Kay Giesecke

2002,53: Hedging and portfolio optimization in illiquid financial markets

Peter Bank and Dietmar Baum

2002,52: An exponential model for dependent defaults

Kay Giesecke

2002,51: I want you!: An experiment studying the selection effect when assigning distributive power

Jordi Brandts, Werner Güth and Andreas Stiehler

2002,50: Adaptive wavelet Galerkin methods for linear inverse problems

Albert Cohen, Marc Hoffmann and Markus Reiß

2002,49: Client/server based statistical computing

Torsten Kleinow and Heiko Lehmann

2002,48: A Monte Carlo study of structural equation models for finite mixtures

John Williams, Dirk Temme and Lutz Hildebrandt

2002,47: Compensator-based simulation of correlated defaults

Kay Giesecke

2002,46: XQS/MD*Crypt as a means of education and computation

Jörg Feuerhake

2002,45: Transactions that did not happen and their influence on prices

Alan Kirman, Wolfgang Härdle, Rainer Schulz and Axel Werwatz

2002,44: Simulation based option pricing

Jens Lüssem and Jürgen Schumacher

2002,43: Nonparametric estimators of GARCH processes

Jürgen Franke, Harriet Holzberger and Marlene Müller

2002,42: Net based spreadsheets in quantitative finance

Gökhan Aydınlı

2002,41: Statistical process control

Sven Knoth