SFB 373 Discussion Papers

From Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
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2001,93: Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model

Pentti Saikkonen

2001,92: Optimal consumption choice for ratchet investors

Frank Riedel

2001,91: On parametric statistical models for stationary solutions of affine stochastic delay differential equations

Alexander Gushchin and Uwe Küchler

2001,90: On Itô's formula for multidimensional Brownian motion

Hans Föllmer and Philip E. Protter

2001,89: Zur Vorteilhaftigkeit von Kapitallebensversicherungen gegenüber alternativen Anlageformen - Eine Analyse aus Anlegersicht

Helmut Gründl, R. Stehle and T. Waldow

2001,88: Weak approximation of stochastic differential delay equations

Evelyn Buckwar and Tony Shardlow

2001,87: The transmission of German monetary policy in the pre-Euro period

Helmut Lütkepohl and Juergen Wolters

2001,86: Information cascades on the labor market

Dorothea Kübler and Georg Weizsäcker

2001,85: MM*Stat - a multimedia tool for teaching of statistics

Bernd Rönz

2001,84: Overeducation, undereducation, and the theory of career mobility

Felix Büchel and Antje Mertens

2001,83: Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications

Helmut Herwartz and Hans-Eggert Reimers

2001,82: Unit root tests in the presence of innovational outliers

Markku Lanne, Helmut Lütkepohl and Pentti Saikkonen

2001,81: The costs of not knowing the radius

Helmut Rieder, Matthias Kohl and Peter Ruckdeschel

2001,80: E-privacy: Evaluating a new search cost in online environments

Dirk Annacker, Sarah Spiekermann and Martin Strobel

2001,79: Measures for the structure of clustering and admissibilities of its algorithm

Akinobu Takeuchi, Hiroshi Yadohisa and Koichi Inada

2001,78: Space distortion and monotone admissibility in agglomerative clustering

Akinobu Takeuchi, Hiroshi Yadohisa and Koichi Inada

2001,77: A mixed user interface for a statistical system

Yoshikazu Yamamoto, Junji Nakano, Takeshi Fujiwara and Ikunori Kobayashi

2001,76: Distributed computing in a time series analysis system

Yoshikazu Yamamoto and Junji Nakano

2001,75: The influence of inventory effects and reference points on the rate of consumption

David R. Bell and Yasemin Boztuæg

2001,74: Multivariate volatility models

Matthias Fengler and Helmut Herwartz

2001,73: The analysis of implied volatilities

Matthias Fengler, Wolfgang Härdle and Peter Schmidt

2001,72: An implementation of a statistical language based on JAVA

Takeshi Fujiwara, Junji Nakano, Yoshikazu Yamamoto and Ikunori Kobayashi

2001,71: Convex measures of risk and trading constraints

Hans Föllmer and Alexander Schied

2001,70: The third generation (UMTS) spectrum auction in Germany

Veronika Grimm, Frank Riedel and Elmar Wolfstetter

2001,69: Comparative study of one-bid versus two-bid auctions

Radosveta Ivanova-Stenzel and Doron Sonsino

2001,68: A procedural and object-oriented statistical language

Ikunori Kobayashi, Takeshi Fujiwara, Junji Nakano and Yoshikazu Yamamoto

2001,67: Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate

Luis Gil-Alana

2001,66: The power of the tests of Robinson (1994) in the context of fractionally integrated moving average models

Luis Gil-Alana

2001,65: Multiple politico-economic regimes, inequality and growth

Alain Desdoigts and Fabien Moizeau

2001,64: Empirical likelihood-based inference in linear errors-in-covariables models with validation data

Qihua Wang and J. N. K. Rao

2001,63: Testing for the cointegrating rank of a VAR process with level shift at unknown time

Helmut Lütkepohl, Pentti Saikkonen and Carsten Trenkler

2001,62: Random times at which insiders can have free lunches

Peter Imkeller

2001,61: Manipulation in political stock markets: Preconditions and evidence

Jan Hansen, Carsten Schmidt and Martin Strobel

2001,60: Autoregressive aided periodogram bootstrap for time series

Jens-Peter Kreiss and Efstathios Paparoditis

2001,59: Bootstrap methods for time series

Wolfgang Härdle, Joel L. Horowitz and Jens-Peter Kreiss

2001,58: A state space model for Berlin house prices

Rainer Schulz and Axel Werwatz

2001,57: Predictive accuracy of political stock markets: Empirical evidence from a European perspective

Michael Berlemann and Carsten Schmidt

2001,56: Unemployment and input prices: A fractional cointegration approach

Guglielmo Maria Caporale and Luis Gil-Alana

2001,55: Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes

Stefan R. Jaschke

2001,54: The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations

Stefan R. Jaschke

2001,53: The great demand depression

Mark Weder

2001,52: A benchmark model for financial markets

Eckhard Platen

2001,51: Semiparametric estimation in single index poisson regression: A practical approach

Daniela Climov, Michel Delecroix and Leopold Simar

2001,50: The Swiss UMTS spectrum auction flop: Bad luck or bad design?

Elmar Wolfstetter

2001,49: Complementarity of labor market institutions, equilibrium unemployment and the propagation of business cycles

Michael Burda and Mark Weder

2001,48: On adaptive smoothing in partial linear models

Georgi Golubev and Wolfgang Härdle

2001,47: Extracting implicit density functions from short term interest rate options

Hannah Nielsen

2001,46: Fractional integration and business cycle features

Bertrand Candelon and Luis Gil-Alana

2001,45: Experimental 'beauty contests' with homogeneous and heterogeneous players and with interior and boundary equilibria

Werner Güth, Martin Kocher and Matthias Sutter

2001,44: Simultaneous over- and underconfidence: Evidence from experimental asset markets

Boris Maciejovsky and Erich Kirchler