SFB 649 Discussion Papers

From Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
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2006-078: GHICA: Risk analysis with GH distributions and independent components

Ying Chen, Wolfgang Härdle and Vladimir Spokoiny

2006-077: Estimation of default probabilities with Support Vector Machines

Shiyi Chen, Wolfgang Härdle and Rouslan A. Moro

2006-076: Convenience yields for CO2 emission allowance futures contracts

Szymon Borak, Wolfgang Härdle, Stefan Trück and Rafał Weron

2006-075: Inhomogeneous dependency modelling with time varying copulae

Enzo Giacomini, Wolfgang Härdle, Ekaterina Ignatieva and Vladimir Spokoiny

2006-074: Multiple disorder problems for Wiener and compound Poisson processes with exponential jumps

Pavel V. Gapeev

2006-073: Real balance effects, timing and equilibrium determination

Christian Stoltenberg

2006-072: Optimal interest rate stabilization in a basic sticky-price model

Matthias Paustian and Christian Stoltenberg

2006-071: Color harmonization in car manufacturing process

Anton Andriyashin, Michal Benko, Wolfgang Härdle, Roman Timofeev and Uwe Ziegenhagen

2006-070: The welfare enhancing effects of a selfish government in the presence of uninsurable, idiosyncratic risk

R. Braun and Harald Uhlig

2006-069: Constrained general regression in pseudo-Sobolev spaces with application to option pricing

Zdeněk Hlávka and Michal Peésta

2006-068: Integral options in models with jumps

Pavel V. Gapeev

2006-067: Testing for the cointegrating rank of a VAR process with level shift and trend break

Carsten Trenkler, Pentti Saikkonen and Helmut Lütkepohl

2006-066: Pension sytems and the allocation of macroeconomic risk

Lans Bovenberg and Harald Uhlig

2006-065: Forecasting euro-area variables with German pre-EMU data

Ralf Brüggemann, Helmut Lütkepohl and Massimiliano Marcellino

2006-064: Common and uncommon sources of growth in Asia Pacific

Enzo Weber

2006-063: Robust optimization of consumption with random endowment

Wiebke Wittmüß

2006-062: On the difficulty to design Arabic e-learning system in statistics

Taleb Ahmad, Wolfgang Härdle and Julius Mungo

2006-061: A control approach to robust utility maximization with logarithmic utility and time-consistent penalties

Daniel Hernández-Hernández and Alexander Schied

2006-060: On maximal inequalities for some jump processes

Pavel V. Gapeev

2006-059: Discounted optimal stopping for maxima of some jump-diffusion processes

Pavel V. Gapeev

2006-058: Perpetual barrier options in jump-diffusion models

Pavel V. Gapeev

2006-057: Discounted optimal stopping for maxima in diffusion models with finite horizon

Pavel V. Gapeev

2006-056: The euro and the transatlantic capital market leadership: A recursive cointegration analysis

Enzo Weber

2006-055: Reassessing intergenerational mobility in Germany and the United States: The impact of differences in lifecycle earnings patterns

Thorsten Vogel

2006-054: On the coexistence of banks and markets

Hans Gersbach and Harald Uhlig

2006-053: Governance: Who controls matters

Bruno Deffains and Dominique M. Demougin

2006-052: Forecasting the term structure of variance swaps

Kai Detlefsen and Wolfgang Härdle

2006-051: Regression methods in pricing American and Bermudan options using consumption processes

Denis Belomestny, Grigori N. Milstein and Vladimir Spokoiny

2006-050: Robust econometrics

Pavel Čίžek and Wolfgang Härdle

2006-049: The influence of information costs on the integration of financial markets: Northern Europe, 1350-1560

Oliver Volckart

2006-048: The Anglo-German industrial productivity paradox, 1895-1938: A restatement and a possible resolution

Albrecht Ritschl

2006-047: The division of ownership in new ventures

Dominique M. Demougin and Oliver Fabel

2006-046: Produktdiversifizierung: Haben die ostdeutschen Unternehmen den Anschluss an den Westen geschafft? Eine vergleichende Analyse mit Mikrodaten der amtlichen Statistik

Bernd Görzig, Martin Gornig and Axel Werwatz

2006-045: Firm specific wage spread in Germany: Decomposition of regional differences in inter firm wage dispersion

Bernd Görzig, Martin Gornig and Axel Werwatz

2006-044: East Germany's wage gap: A non-parametric decomposition based on establishment characteristics

Bernd Görzig, Martin Gornig and Axel Werwatz

2006-043: An iteration procedure for solving integral equations related to optimal stopping problems

Denis Belomestny and Pavel V. Gapeev

2006-042: Discussion of "The source of historical economic fluctuations: An analysis using long-run restrictions" by Neville Francis and Valerie A. Ramey

Harald Uhlig

2006-041: Forward and reverse representations for Markov chains

Grigori N. Milstein, John G. M. Schoenmakers and Vladimir Spokoiny

2006-040: In search of non-Gaussian components of a high-dimensional distribution

Gilles Blanchard, Motoaki Kawanabe, Masashi Sugiyama, Vladimir Spokoiny and Klaus-Robert Müller

2006-039: Macroeconomic integration in Asia Pacific: Common stochastic trends and business cycle coherence

Enzo Weber

2006-038: Adaptive simulation algorithms for pricing American and Bermudan options by local analysis of financial market

Denis Belomestny and Grigori N. Milstein

2006-037: A jump-diffusion Libor model and its robust calibration

Denis Belomestny and John G. M. Schoenmakers

2006-036: Spatial aggregation of local likelihood estimates with applications to classification

Denis Belomestny and Vladimir Spokoiny

2006-035: Spectral calibration of exponential Lévy Models [2]

Denis Belomestny and Markus Reiss

2006-034: Spectral calibration of exponential Lévy Models [1]

Denis Belomestny and Markus Reiss

2006-033: Varying coefficient GARCH versus local constant volatility modeling: Comparison of the predictive power

Jörg Polzehl and Vladimir Spokoiny

2006-032: When did the 2001 recession really start?

Jörg Polzehl, Vladimir Spokoiny and Catalin Starica

2006-031: Exploratory graphics of a financial dataset

Antony Unwin, Martin Theus and Wolfgang Härdle

2006-030: Approximate solutions to dynamic models: Linear methods

Harald Uhlig

2006-029: Tail Conditional Expectation for vector-valued risks

Imen Bentahar