SFB 649 Discussion Papers

From Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
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2005-042: Bank finance versus bond finance: What explains the differences between US and Europe?

Fiorella De Fiore and Harald Uhlig

2005-041: Fixed-prize tournaments versus first-price auctions in innovation contests

Anja Schöttner

2005-040: Optimal sticky prices under rational inattention

Bartosz Maćkowiak and Mirko Wiederholt

2005-039: What are the effects of fiscal policy shocks?

Andrew Mountford and Harald Uhlig

2005-038: Discretisation of stochastic control problems for continuous time dynamics with delay

Markus Fischer and Markus Reiss

2005-037: New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates

Almuth Scholl and Harald Uhlig

2005-036: Getting used to risks: Reference dependence and risk inclusion

Astrid Matthey

2005-035: Uncovered interest rate parity and the expectations hypothesis of the term structure: Empirical results for the US and Europe

Ralf Brüggemann and Helmut Lütkepohl

2005-034: Skill mismatch in equilibrium unemployment

Ronald Bachmann

2005-033: Notes on an endogenous growth model with two capital stocks II: The stochastic case

Dirk Bethmann

2005-032: Working time as an investment? The effects of unpaid overtime on wages, promotions and layoffs

Silke Anger

2005-031: Does temporary agency work provide a stepping stone to regular employment?

Michael Kvasnicka

2005-030: The Shannon information of filtrations and the additional logarithmic utility of insiders

Stefan Ankirchner, Steffen Dereich and Peter Imkeller

2005-029: Utility duality under additional information: Conditional measures versus filtration enlargements

Stefan Ankirchner

2005-028: A market basket analysis conducted with a multivariate logit model

Yasemin Boztug and Lutz Hildebrandt

2005-027: Money demand and macroeconomic stability revisited

Andreas Schabert and Christian Stoltenberg

2005-026: Projection pursuit for exploratory supervised classification

Eun-Kyung Lee, Dianne Cook, Sigbert Klinke and Thomas Lumley

2005-025: Duality theory for optimal investments under model uncertainty

Alexander Schied and Ching-Tang Wu

2005-024: Modeling the FIBOR/EURIBOR swap term structure: An empirical approach

Oliver J. Blaskowitz, Helmut Herwartz and Gonzalo de Cadenas Santiago

2005-023: Towards a monthly business cycle chronology for the euro area

Emanuel Mönch and Harald Uhlig

2005-022: DSFM fitting of implied volatility surfaces

Szymon Borak, Matthias Fengler and Wolfgang Härdle

2005-021: Dynamics of state price densities

Wolfgang Härdle and Zdeněk Hlávka

2005-020: A dynamic semiparametric factor model for implied volatility string dynamics

Matthias Fengler, Wolfgang Härdle and Enno Mammen

2005-019: Arbitrage-free smoothing of the implied volatility surface

Matthias Fengler

2005-018: Yxilon: A modular open-source statistical programming language

Sigbert Klinke, Uwe Ziegenhagen and Yuval Guri

2005-017: A two state model for noise-induced resonance in bistable systems with delay

Markus Fischer and Peter Imkeller

2005-016: Common functional component modelling

Alois Kneip and Michal Benko

2005-015: Robust estimation of dimension reduction space

Pavel Čίžek and Wolfgang Härdle

2005-014: Are Eastern European countries catching up? Time series evidence for Czech Republic, Hungary, and Poland

Ralf Brüggemann and Carsten Trenkler

2005-013: Nonparametric productivity analysis

Wolfgang Härdle and Seok-Oh Jeong

2005-012: Common functional implied volatility analysis

Kai Detlefsen and Wolfgang Härdle

2005-011: FFT based option pricing

Szymon Borak, Kai Detlefsen and Wolfgang Härdle

2005-010: Working with the XQC

Wolfgang Härdle and Heiko Lehmann

2005-009: Predicting bankruptcy with support vector machines

Wolfgang Härdle, Rouslan A. Moro and Dorothea Schäfer

2005-008: Stable distributions

Szymon Borak, Wolfgang Härdle and Rafał Weron

2005-007: Implied trinomial trees

Pavel Čίžek and Karel Komorád

2005-006: Conditional and dynamic convex risk measures

Kai Detlefsen and Giacomo Scandolo

2005-005: An optimal stopping problem in a diffusion-type model with delay

Pavel V. Gapeev and Markus Reiss

2005-004: Value-at-risk calculations with time varying copulae

Enzo Giacomini and Wolfgang Härdle

2005-003: Competitive risk sharing contracts with one-sided commitment

Harald Uhlig and Dirk Krueger

2005-002: Selecting comparables for the valuation of European firms

Ingolf Dittmann and Christian Weiner

2005-001: Nonparametric risk management with generalized hyperbolic distributions

Ying Chen, Wolfgang Härdle and Seok-Oh Jeong