SFB 649 Discussion Papers

From Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
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2011-063: Multivariate volatility modeling of electricity futures

Luc Bauwens, Christian Hafner and Diane Pierret

2011-062: On heterogeneous latent class models with applications to the analysis of rating scores

Aurélie Bertrand and Christian Hafner

2011-061: Forward-backward systems for expected utility maximization

Ulrich Horst, Ying Hu, Peter Imkeller, Anthony Réveillac and Jianing Zhang

2011-060: On the continuation of the great moderation: New evidence from G7 countries

Wenjuan Chen

2011-059: The merit of high-frequency data in portfolio allocation

Nikolaus Hautsch, Lada M. Kyj and Peter Malec

2011-058: Optimal liquidation in dark pools

Peter Kratz and Torsten Schöneborn

2011-057: Optimal display of Iceberg orders

Gökhan Cebiroğlu and Ulrich Horst

2011-056: Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data

Nikolaus Hautsch and Ruihong Huang

2011-055: Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives

Wolfgang Härdle and Maria Osipenko

2011-054: TVICA - time varying independent component analysis and its application to financial data

Ray-Bing Chen, Ying Chen and Wolfgang Härdle

2011-053: When to cross the spread: Curve following with singular control

Felix Naujokat and Ulrich Horst

2011-052: Rollover risk, network structure and systemic financial crises

Kartik Anand, Prasanna Gai and Matteo Marsili

2011-051: A network model of financial system resilience

Kartik Anand, Prasanna Gai, Sujit Kapadia, Simon Brennan and Matthew Willison

2011-050: The impact of context and promotion on consumer responses and preferences in out-of-stock situations

Nicole Wiebach and Jana L. Diels

2011-049: Monetary policy, determinacy, and the natural rate hypothesis

Alexander Meyer-Gohde

2011-048: Large vector auto regressions

Song Song and Peter J. Bickel

2011-047: Bargaining and collusion in a regulatory model

Raffaele Fiocco and Mario Gilli

2011-046: The regulation of interdependent markets

Raffaele Fiocco and Carlo Scarpa

2011-045: Bayesian Networks and sex-related homicides

Stephan Stahlschmidt, Helmut Tausendteufel and Wolfgang Härdle

2011-044: Predicting bid-ask spreads using long memory autoregressive conditional poisson models

Axel Groß-Klußmann and Nikolaus Hautsch

2011-043: CRRA utility maximization under risk constraints

Santiago Moreno-Bromberg, Traian A. Pirvu and Anthony Réveillac

2011-042: Pollution permits, strategic trading and dynamic technology adoption

Santiago Moreno-Bromberg and Luca Taschini

2011-041: The Basel III framework for liquidity standards and monetary policy implementation

Ulrich Bindseil and Jeroen Lamoot

2011-040: News-driven business cycles in SVARs

Patrick Bunk

2011-039: The persistance of "bad" precedents and the need for communication: A coordination experiment

Dietmar Fehr

2011-038: The neural basis of following advice

Guido Biele, Jörg Rieskamp, Lea K. Krugel and Hauke Heekeren

2011-037: Neurobiology of value integration: When value impacts valuation

Soyoung Q Park, Thorsten Kahnt, Jörg Rieskamp and Hauke Heekeren

2011-036: An indicator for national systems of innovation: Methodology and application to 17 industrialized countries

Heike Belitz, Marius Clemens, Christian von Hirschhausen, Jens Schmidt-Ehmcke, Axel Werwatz and Petra Zloczysti

2011-035: The economics of TARGET2 balances

Ulrich Bindseil and Philipp Johann König

2011-034: An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

Markus Bibinger

2011-033: Asymptotics of asynchronicity

Markus Bibinger

2011-032: The information content of central bank interest rate projections: Evidence from New Zealand

Gunda-Alexandra Detmers and Dieter Nautz

2011-031: What explains the German labor market miracle in the Great Recession?

Michael Burda and Jennifer Hunt

2011-030: Developing web-based tools for the teaching of statistics: Our wikis and the German Wikipedia

Sigbert Klinke

2011-029: Pointwise adaptive estimation for quantile regression

Markus Reiss, Yves Rozenholc and Charles A. Cuenod

2011-028: Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise

Markus Reiss

2011-027: Estimation of the characteristics of a Lévy process observed at arbitrary frequency

Johanna Kappus and Markus Reiss

2011-026: Compensation of unusual working schedules

Juliane Scheffel

2011-025: How do unusual working schedules affect social life?

Juliane Scheffel

2011-024: Identifying the effect of temporal work flexibility on parental time with children

Juliane Scheffel

2011-023: Forecasting corporate distress in the Asian and Pacific region

Russ Moro, Wolfgang Härdle, Saeideh Aliakbari and Linda Hoffmann

2011-022: Extreme value models in a conditional duration intensity framework

Rodrigo Herrera and Bernhard Schipp

2011-021: Customer reactions in Out-of-Stock situations: Do promotion-induced phantom positions alleviate the similarity substitution hypothsis?

Jana Luisa Diels and Nicole Wiebach

2011-020: How computational statistics became the backbone of modern data science

James E. Gentle, Wolfgang Härdle and Yuichi Mori

2011-019: What drives the relationship between inflation and price dispersion? Market power vs. price rigidity

Sascha Becker

2011-018: Can crop yield risk be globally diversified?

Xiaoliang Liu, Wei Xu and Martin Odening

2011-017: The law of attraction bilateral search and horizontal heterogeneity

Dirk Hofmann and Salmai Qari

2011-016: Oracally efficient two-step estimation of generalized additive model

Rong Liu, Lijian Yang and Wolfgang Härdle

2011-015: Short-term herding of institutional traders: New evidence from the German stock market

Stephanie Kremer and Dieter Nautz

2011-014: Difference based ridge and Liu type estimators in semiparametric regression models

Esra Akdeniz Duran, Wolfgang Härdle and Maria Osipenko