SFB 649 Discussion Papers

From Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
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2013-009: I'll do it by myself as I knew it all along': On the failure of hindsight-biased principals to delegate optimally

David Danz, Frank Hüber, Dorothea Kübler, Lydia Mechtenberg and Julia Schmid

2013-008: Forecasting systemic impact in financial networks

Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle

2013-007: Crossing network versus dealer market: Unique equilibrium in the allocation of order flow

Jutta Dönges, Frank Heinemann and Tijmen Daniëls

2013-006: Inference for multi-dimensional high-frequency data: Equivalence of methods, central limit theorems, and an application to conditional independence testing

Markus Bibinger and Per A. Mykland

2013-005: Pricing rainfall derivatives at the CME

Brenda López Cabrera, Martin Odening and Matthias Ritter

2013-004: Preference for randomization: Empirical and experimental evidence

Nadja Dwenger, Dorothea Kübler and Georg Weizsäcker

2013-003: Empirical research on corporate credit-ratings: A literature review

Alexander B. Matthies

2013-002: Statistical properties and stability of ratings in a subset of US firms

Alexander B. Matthies

2013-001: Functional data analysis of generalized quantile regressions

Mengmeng Guo, Lhan Zhou, Jianhua Z. Huang and Wolfgang Härdle

2012-067: Can the market forecast the weather better than meteorologists?

Matthias Ritter

2012-066: Implied basket correlation dynamics

Wolfgang Härdle and Elena Silyakova

2012-065: Covered bonds, core markets, and financial stability

Kartik Anand, James Chapman and Prasanna Gai

2012-064: Measuring the impact of critical incidents on brand personality

Sven Tischer

2012-063: Common factors in credit defaults swaps markets

Yi-hsuan Chen and Wolfgang Härdle

2012-062: Brand equity: How is it affected by critical incidents and what moderates the effect

Lutz Hildebrandt and Sven Tischer

2012-061: Variable selection in Cox regression models with varying coefficients

Toshio Honda and Wolfgang Härdle

2012-060: Modelling general dependence between commodity forward curves

Mikhail Zolotko and Ostap Okhrin

2012-059: Cartelization through buyer groups

Chris Doyle and Martijn A. Han

2012-058: Private and public control of management

Charles Angelucci and Martijn A. Han

2012-057: Short-term managerial contracts and cartels

Martijn A. Han

2012-056: Strategic delegation improves cartel stability

Martijn A. Han

2012-055: Consumer standards as a strategic device to mitigate ratchet effects in dynamic regulation

Raffaele Fiocco and Roland Strausz

2012-054: Modeling time-varying dependencies between positive-valued high-frequency time series

Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig

2012-053: Financial network systemic risk contributions

Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle

2012-052: Rethinking stock market integration: Globalization, valuation and convergence

Pui Sun Tam and Pui I. Tam

2012-051: Using transfer entropy to measure information flows between financial markets

Thomas Dimpfl and Franziska J. Peter

2012-050: Do natural resource sectors rely less on external finance than manufacturing sectors?

Christian Hattendorff

2012-049: Simultaneous test procedures in terms of p-value copulae

Thorsten Dickhaus and Jakob Gierl

2012-048: Yield curve modeling and forecasting using semiparametric factor dynamics

Wolfgang Härdle and Piotr Majer

2012-047: Nonparametric Kernel density estimation near the boundary

Peter Malec and Melanie Schienle

2012-046: A uniform central limit theorem and efficiency for deconvolution estimators

Jakob Söhl and Mathias Trabs

2012-045: Additive models: Extensions and related models

Enno Mammen, Byeong U. Park and Melanie Schienle

2012-044: Copula-based dynamic conditional correlation multiplicative error processes

Taras Bodnar and Nikolaus Hautsch

2012-043: The signal of volatility

Till Strohsal and Enzo Weber

2012-042: Generated covariates in nonparametric estimation: A short review

Enno Mammen, Christoph Rothe and Melanie Schienle

2012-041: Multiple point hypothesis test problems and effective numbers of tests

Thorsten Dickhaus and Jens Stange

2012-040: Location, location, location: Extracting location value from house prices

Jens Kolbe, Rainer Schulz, Martin Wersing and Axel Werwatz

2012-039: Volatility of price indices for heterogeneous goods

Fabian Y. R. P. Bocart and Christian Hafner

2012-038: The aging investor: Insights from neuroeconomics

Peter N. C. Mohr and Hauke Heekeren

2012-037: Do Japanese stock prices reflect macro fundamentals?

Wenjuan Chen and Anton Velinov

2012-036: Hierarchical Archimedean copulae: The HAC package

Ostap Okhrin and Alexander Ristig

2012-035: Correlated trades and herd behavior in the stock market

Simon Jurkatis, Stephanie Kremer and Dieter Nautz

2012-034: Realized copula

Matthias Fengler and Ostap Okhrin

2012-033: Simultaneous statistical inference in dynamic factor models

Thorsten Dickhaus

2012-032: Copula dynamics in CDOs

Barbara Choros-Tomczyk, Wolfgang Härdle and Ludger Overbeck

2012-031: Local adaptive multiplicative error models for high-frequency forecasts

Wolfgang Härdle, Nikolaus Hautsch and Andrija Mihoci

2012-030: Support vector machines with evolutionary feature selection for default prediction

Wolfgang Härdle, Dedy Prastyo and Christian Hafner

2012-029: Statistical modelling of temperature risk

Zografia Anastasiadou and Brenda López-Cabrera

2012-028: Does umbrella branding really work? Investigating cross-category brand loyalty

Nadja Silberhorn and Lutz Hildebrandt

2012-027: Forecast based pricing of weather derivatives

Wolfgang Härdle, Brenda López-Cabrera and Matthias Ritter