SFB 373 Discussion Papers

From Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
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2000,6: Adaptive estimation for a time inhomogeneous stochastic-volatility model

Wolfgang Härdle, Vladimir G. Spokoiny and Gilles Teyssière

2000,5: The stochastic equation P(t+1)=A(t)P(t)+B(t) with non-stationary coefficients

Ulrich Horst

2000,4: Optimal smoothing in semiparametric index approximation of regression functions

Michel Delecroix, Marian Hristache and Valentin Patilea

2000,3: Merger in contests

Steffen Huck, Kai Konrad and Wieland Müller

2000,2: On saving and investing: An experimental study of intertemporal decision making in a complex stochastic environment

Vital Anderhub, Werner Güth and Florian Knust

2000,1: Web quantlets for time series analysis

Wolfgang Härdle, Torsten Kleinow and Rolf Tschernig

1999,106: Ergodic fluctuations in a stock market model with interacting agents: The mean field case

Ulrich Horst

1999,105: Backtesting beyond VaR

Wolfgang Härdle and Gerhard Stahl

1999,104: Theoretical properties of two estimators in partially linear single-index measurement error models

Hua Liang and Naisyin Wang

1999,103: Keeping statistics alive in documents

Günther Sawitzki

1999,102: How competition in investing, hiring, and selling affects (un)employment: An analysis of equilibrium scenario

Siegfried Berninghaus, Werner Güth and Hans Jürgen Ramser

1999,101: Auctions and fair division games under different price rules: Individual bid functions, prices and efficiency rates

Werner Güth, Radosveta Ivanova-Stenzel, Manfred Königstein and Martin Strobel

1999,100: Local linear smoothers using asymmetric kernels

Song Chen

1999,99: Multiscale testing of qualitative hypotheses

Lutz Dümbgen and Vladimir G. Spokoiny

1999,98: Semiparametric lack-of-fit tests in an additive hazard regression model

Birgit Grund and Jörg Polzehl

1999,97: An experimental study of the repeated trust game with incomplete information

Vital Anderhub, Werner Güth and Dirk Engelmann

1999,96: A guided tour through quadratic hedging approaches

Martin Schweizer

1999,95: Dynamic decision structure and risk taking

Jürgen Eichberger, Werner Güth and Wieland Müller

1999,94: Computational resources for extremes

Torsten Kleinow and Michael Thomas

1999,93: Credit scoring using semiparametric methods

Marlene Müller and Bernd Rönz

1999,92: Please, marry me!: An experimental study of risking a joint venture

Werner Güth, Radosveta Ivanova-Stenzel and Sigve Tjøtta

1999,91: Stabilization policy and business cycle phases in Europe: A Markov Switching VAR analysis

Michel Beine, Bertrand Candelon and Khalid Sekkat

1999,90: Decentralized or collective bargaining in a strategy experiment

Siegfried Berninghaus, Werner Güth and Claudia Keser

1999,89: On weak Brownian motions of arbitrary order

Hans Föllmer, Ching-Tang Wu and Marc Yor

1999,88: Comparison of unit root tests for time series with level shifts

Markku Lanne, Helmut Lütkepohl and Pentti Saikkonen

1999,87: Empirical process of the squared residuals of an ARCH sequence

Lajos Horvath, Piotr Kokoszka and Gilles Teyssière

1999,86: Variance estimation for high-dimensional regression models

Vladimir G. Spokoiny

1999,85: Deviation probability bound for martingales with applications to statistical estimation

R. Liptser and Vladimir G. Spokoiny

1999,84: Evolutionary norm enforcement

Werner Güth and Axel Ockenfels

1999,83: Hazard regression

Birgit Grund and Lijian Yang

1999,82: Efficient contracting and fair play in a simple principal-agent experiment

Vital Anderhub, Simon Gächter and Manfred Königstein

1999,81: Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity

Liudas Giraitis, Piotr Kokoszka, Remigijus Leipus and Gilles Teyssière

1999,80: DPLS in XploRe: A PLS approach to dynamic path models

Hans Gerhard Strohe, Wolfgang Härdle and Frank Geppert

1999,79: The repo auctions of the European Central Bank and the vanishing quota puzzle

Dieter Nautz and Jörg Oechssler

1999,78: Quantile regression

Pavel Cizek

1999,77: Errors in variables models

Hua Liang

1999,76: The three dimensions of multimedia teaching of statistics

Nathaniel Derby, Wolfgang Härdle and Bernd Rönz

1999,75: Neighborhoods as nuisance parameters? Robustness vs. semiparametrics

Helmut Rieder

1999,74: Beyond manucentrism: Some fresh facts about job and worker flows

Paul Bingley, Tor Eriksson, Axel Werwatz and Niels Westergård-Nielsen

1999,73: An experimental analysis of equal punishment games

Marlies Ahlert, Arwed Crüger and Werner Güth

1999,72: Testing for a unit root in a time series with a level shift at unknown time

Pentti Saikkonen and Helmut Lütkepohl

1999,71: Optimal consumption choice under uncertainty with intertemporal substitution

Peter Bank and Frank Riedel

1999,70: Learning to bid: An experimental study of bid function adjustments in auctions and fair division games

Werner Güth, Radosveta Ivanova, Manfred Königstein and Martin Strobel

1999,69: The local power of some unit root tests for panel data

Jörg Breitung

1999,68: Forecasting cointegrated VARMA processes

Helmut Lütkepohl

1999,67: Nonlinear error correction and the efficient market hypothesis: The case of German dual-class shares

Jörg Breitung and Christian Wulff

1999,66: The false consensus effect disappears if representative information and monetary incentives are given

Dirk Engelmann and Martin Strobel

1999,65: On the interaction of risk and time preferences: An experimental study

Vital Anderhub, Uri Gneezy, Werner Güth and Doron Sonsino

1999,64: Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization

Stefan R. Jaschke and Uwe Küchler

1999,63: Die empirische Relevanz des Monetären Modells für die Erklärung des DM/Dollar Wechselkurses

Dieter Nautz