SFB 373 Discussion Papers

From Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
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2000,106: Deterministic seasonality versus seasonal fractional integration

Luis Gil-Alana

2000,105: Testing of fractional cointegration in macroeconomic time series

Luis Gil-Alana

2000,104: Existence and structure of stochastic equilibria with intertemporal substitution

Peter Bank and Frank Riedel

2000,103: Probabilistic aspects of financial risk

Hans Föllmer

2000,102: Why firms should care for customers

Manfred Königstein and Wieland Müller

2000,101: Die relative Bedeutung des Einflusses von Firmen- und Industriezweigeffekten auf den Unternehmenserfolg

Olaf Bunke, Bernd Droge and Joachim Schwalbach

2000,100: Analyzing XploRe download profiles with intelligent miner

Hizir Sofyan and Axel Werwatz

2000,99: Common cycles: A frequency domain approach

Jörg Breitung and Bertrand Candelon

2000,98: Cointegrating smooth transition regressions with applications to the Asian currency crisis

Pentti Saikkonen and In Choi

2000,97: Common factors governing VDAX movements and the maximum loss

Wolfgang Härdle and Peter Schmidt

2000,96: Dumb software agents on an experimental asset market

Jens Großklags, Carsten Schmidt and Jonathan Siegel

2000,95: On the reliability of chow type test for parameter constancy in multivariate dynamic models

Bertrand Candelon and Helmut Lütkepohl

2000,94: Asymptotic properties of robust three-stage procedure based on bootstrap for m-estimator

Zdeněk Hlávka

2000,93: Hedging the standard of living via cost of living index futures

Rainer Schulz

2000,92: Risk premia and financial modelling without measure transformation

Eckhard Platen

2000,91: A minimal financial market model

Eckhard Platen

2000,90: Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets

Matthias Fengler and Joachim Winter

2000,89: Nonparametric estimation of generalized impulse response function

Rolf Tschernig and Lijian Yang

2000,88: On testing conditional moment restrictions: The canonical case

Gautam Tripathi and Yuichi Kitamura

2000,87: Bootstrap inference in single equation error correction models

Helmut Herwartz and Michael H. Neumann

2000,86: A local instrumental estimation method for generalized additive volatility models

Woocheol Kim and Oliver Linton

2000,85: Nonparametric estimation of homogeneous function

Gautam Tripathi and Woocheol Kim

2000,84: Investigation of the stochastic utility maximization process of consumer brand choice by semiparametric modeling

Makoto Abe, Yasemin Boztuæg and Lutz Hildebrandt

2000,83: Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process

Helmut Lütkepohl, Pentti Saikkonen and Carsten Trenkler

2000,82: Robust learning experiments: Evidence for learning and deliberation

Werner Güth

2000,81: Marginal employment - a dead end? A survival analysis based on West German spelldata

Jürgen Kolb and Axel Werwatz

2000,80: Fourth moments of multivariate GARCH processes

Christian Hafner

2000,79: Testing the purchasing power parity in pooled systems of error correction models

Helmut Herwartz and Hans-Eggert Reimers

2000,78: The determinants of health care expenditure: Testing pooling restrictions in small samples

Helmut Herwartz and Bernd Theilen

2000,77: Minimax rates for nonparametric estimation of the drift functional in affine stochastic delay equations

Markus Reiß

2000,76: Modeling the US short-term interest rate by mixture autoregressive processes

Markku Lanne and Pentti Saikkonen

2000,75: Asymptotic equivalence of estimating a poisson intensity and a positive diffusion drift

Valentine Genon-Catalot, Catherine Laredo and Michael Nussbaum

2000,74: Leave-k-out diagnostics in state space models

Tommaso Proietti

2000,73: On the dynamic foundation of evolutionary stability in continuous models

Jörg Oechssler and Frank Riedel

2000,72: Auctions

Sigrid Müller

2000,71: The Polish crawling peg system: A cointegration analysis

Carsten Trenkler

2000,70: Testing stochastic cycles in macroeconomic time series

Luis Gil-Alana

2000,69: Fractional cointegration and real exchange rates

Guglielmo Maria Caporale and Luis Gil-Alana

2000,68: A fractionally integrated model with a mean shift for the US and the UK real oil prices

Luis Gil-Alana

2000,67: A fractionally integrated exponential model for UK unemployment

Luis Gil-Alana

2000,66: Currency substitution and the stability of the Italian demand for money before the entry into the monetary union, 1972 - 1998

Hannah Nielsen, Giuseppe Tullio and Juergen Wolters

2000,65: Inference on the cointegration rank in fractionally integrated processes

Jörg Breitung and Uwe Hassler

2000,64: Correspondence analysis

Michal Benko and Michel Lejeune

2000,63: ExploRing persistence in financial time series

David Lee

2000,62: Classification and regression trees

Jussi Klemelä, Sigbert Klinke and Hizir Sofyan

2000,61: DPLS-partial least squares program for dynamic path models

Frank Geppert and Hans Gerhard Strohe

2000,60: Growth regression and counterfactual income dynamics

Alain Desdoigts

2000,59: Robust Kalman filtering

Peter Ruckdeschel

2000,58: Uncovered interest parity: What can we learn from panel data?

Jörg Breitung and Ralf Brüggemann

2000,57: Long-memory analysis

Gilles Teyssière