SFB 649 Discussion Papers

From Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
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2014-012: Nonparametric estimates for conditional quantiles of time series

Jürgen Franke, Peter Mwita and Weining Wang

2014-011: Fiscal devaluation in a monetary union

Philipp Engler, Giovanni Ganelli, Juha Tervala and Simon Voigts

2014-010: Efficient iterative maximum likelihood estimation of high-parameterized time series models

Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig

2014-009: Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity

Helmut Lütkepohl and Anton Velinov

2014-008: Simultaneous confidence corridors and variable selection for generalized additive models

Shuzhuan Zheng, Rong Liu, Lijian Yang and Wolfgang Härdle

2014-007: Confidence bands for impulse responses: Bonferroni versus Wald

Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker

2014-006: A consistent two-factor model for pricing temperature derivatives

Andreas Groll, Brenda López-Cabrera and Thilo Meyer-Brandis

2014-005: Functional stable limit theorems for efficient spectral covolatility estimators

Randolf Altmeyer and Markus Bibinger

2014-004: Structural vector autoregressive analysis in a data rich environment: A survey

Helmut Lütkepohl

2014-003: An extended single index model with missing response at random

Qihua Wang, Tao Zhang and Wolfgang Härdle

2014-002: A simultaneous confidence corridor for varying coefficient regression with sparse functional data

Lijie Gu, Li Wang, Wolfgang Härdle and Lijian Yang

2014-001: Principal component analysis in an asymmetric norm

Ngoc Mai Tran, Maria Osipenko and Wolfgang Härdle

2013-047: Tie the straps: Uniform bootstrap con fidence bands for bounded influence curve estimators

Wolfgang Härdle, Ya'acov Ritov and Weining Wang

2013-046: Automated valuation modelling: A specification exercise

Rainer Schulz, Martin Wersing and Axel Werwatz

2013-045: Intertemporal consumption and debt aversion: An experimental study

Thomas Meissner

2013-044: Assortative matching through signals

Friedrich Poeschel

2013-043: Testing the preferred-habitat theory: The role of time-varying risk aversion

Till Strohsal

2013-042: Volatility linkages between energy and agricultural commodity prices

Brenda López Cabrera and Franziska Schulz

2013-041: Goodness-of-fit test for specification of semiparametric copula dependence models

Shulin Zhang, Ostap Okhrin, Qian M. Zhou and Peter X.-K. Song

2013-040: Privacy concerns, voluntary disclosure of information, and unraveling: An experiment

Volker Benndorf, Dorothea Kübler and Hans-Theo Normann

2013-039: Limited higher order beliefs and the welfare effects of public information

Camille Cornand and Frank Heinemann

2013-038: ECB monetary policy surprises: Identification through cojumps in interest rates

Lars Winkelmann, Markus Bibinger and Tobias Linzert

2013-037: Default risk calculation based on predictor selection for the Southeast Asian industry

Wolfgang Härdle and Dedy Prastyo

2013-036: Herding in financial markets: Bridging the gap between theory and evidence

Christopher Boortz, Simon Jurkatis, Stephanie Kremer and Dieter Nautz

2013-035: A new perspective on the economic valuation of informal care: The well-being approach revisited

Konstantin Kehl and Stephan Stahlschmidt

2013-034: Robust estimation and inference for threshold models with integrated regressors

Haiqiang Chen

2013-033: Estimation and inference for varying-coeffcient models with nonstationary regressors using penalized splines

Haiqiang Chen, Ying Fang and Yingxing Li

2013-032: CDO surfaces dynamics

Barbara Choros-Tomczyk, Wolfgang Härdle and Ostap Okhrin

2013-031: Comparison of methods for constructing joint confidence bands for impulse response functions

Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker

2013-030: Can expert knowledge compensate for data scarcity in crop insurance pricing?

Zhiwei Shen, Martin Odening and Ostap Okhrin

2013-029: Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps

Markus Bibinger and Mathias Vetter

2013-028: Analysis of deviance in generalized partial linear models

Wolfgang Härdle and Li-shan Huang

2013-027: Bank lending relationships and the use of performance-sensitive debt

Tim R. Adam and Daniel Streitz

2013-026: State Price Densities implied from weather derivatives

Wolfgang Härdle, Brenda López-Cabrera and Huei-wen Teng

2013-025: The 'Celtic Crisis': Guarantees, transparency, and systemic liquidity risk

Philipp König, Kartik Anand and Frank Heinemann

2013-024: Pruning in perturbation DSGE models: Guidance from nonlinear moving average approximations

Hong Lan and Alexander Meyer-Gohde

2013-023: Reference dependent preferences and the EPK puzzle

Maria Grith, Wolfgang Karl Härdle and Volker Krätschmer

2013-022: Decomposing risk in dynamic stochastic general equilibrium

Hong Lan and Alexander Meyer-Gohde

2013-021: Econometrics of co-jumps in high-frequency data with noise

Markus Bibinger and Lars Winkelmann

2013-020: Disaster risk in a New Keynesian model

Maren Brede

2013-019: The European debt crisis: How did we get into this mess? How can we get out of it?

Michael Burda

2013-018: Fair re-valuation of wine as an investment

Fabian Y. R. P. Bocart and Christian Hafner

2013-017: Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency

Markus Bibinger, Nikolaus Hautsch, Peter Malec and Markus Reiss

2013-016: Quantitative forward guidance and the predictability of monetary policy: A wavelet based jump detection approach

Lars Winkelmann

2013-015: Cyclical variation in labor hours and productivity using the ATUS

Michael Burda, Daniel Hamermesh and Jay Stewart

2013-014: Do high-frequency data improve high-dimensional portfolio allocations?

Nikolaus Hautsch, Lada. M. Kyj and Peter Malec

2013-013: A transfer mechanism for a monetary union

Philipp Engler and Simon Voigts

2013-012: Are there bubbles in the Sterling-dollar exchange rate? New evidence from sequential ADF tests

Timo Bettendorf and Wenjuan Chen

2013-011: The real consequences of financial stress

Stefan Mittnik and Willi Semmler

2013-010: Composite quantile regression for the single-index model

Yan Fan, Wolfgang Härdle, Weining Wang and Lixing Zhu