SFB 649 Discussion Papers

From Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
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2010-028: Social relationships and trust

Christine Binzel and Dietmar Fehr

2010-027: Liquidity and capital requirements and the probability of bank failure

Philipp Johann König

2010-026: Non-gaussian component analysis: New ideas, new proofs, new applications

Vladimir Panov

2010-025: Herding of institutional traders

Stephanie Kremer

2010-024: The optimal industry structure in a vertically related market

Raffaele Fiocco

2010-023: The (in)stability of money demand in the Euro Area: Lessons from a cross-country analysis

Dieter Nautz and Ulrike Rondorf

2010-022: Fitting high-dimensional copulae to data

Ostap Okhrin

2010-021: Nonparametric estimation of risk-neutral densities

Maria Grith, Wolfgang Härdle and Melanie Schienle

2010-020: Aggregate hazard function in price-setting: A bayesian analysis using macro data

Fang Yao

2010-019: Monetary transmission right from the start: The (dis)connection between the money market and the ECB's main refinancing rates

Puriya Abbassi and Dieter Nautz

2010-018: Time varying hierarchical archimedean copulae

Wolfgang Härdle, Ostap Okhrin and Yarema Okhrin

2010-017: The impact of ICT investments on the relative demand for high-medium-, and low-skilled workers: Industry versus country analysis

Dorothee Schneider

2010-016: Honey, I'll be working late tonight. The effect of individual work routines on leisure time synchronization of couples

Juliane Scheffel

2010-015: Estimation of the characteristics of a Lévy process observed at arbitrary frequency

Johanna Kappus and Markus Reiss

2010-014: Crisis? What crisis? Currency vs. banking in the Financial Crisis of 1931

Albrecht Ritschl and Samad Sarferaz

2010-013: The dynamics of hourly electricity prices

Wolfgang Härdle and Stefan Trück

2010-012: Dynamic systems of social interactions

Ulrich Horst

2010-011: Illiquidity and derivative valuation

Ulrich Horst and Felix Naujokat

2010-010: On securitization, market completion and equilibrium risk transfer

Ulrich Horst, Traian A. Pirvu and Gonçalo Dos Reis

2010-009: Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory

Julia Schaumburg

2010-008: Characterising equilibrium selection in global games with strategic complementarities

Christian Basteck, Tijmen Daniëls and Frank Heinemann

2010-007: Two-sided certification: The market for rating agencies

Erik R. Fasten and Dirk Hofmann

2010-006: Bayesian estimation and model selection in the generalised stochastic unit root model

Fuyu Yang and Roberto Leon-Gonzalez

2010-005: The impact of macroeconomic news on quote adjustments, noise, and informational volatility

Nikolaus Hautsch, Dieter E. Hess and David Veredas

2010-004: Bayesian inference in a stochastic volatility Nelson-Siegel Model

Nikolaus Hautsch and Fuyu Yang

2010-003: Uniform confidence bands for pricing kernels

Wolfgang Härdle, Yarema Okhrin and Weining Wang

2010-002: Partial linear quantile regression and bootstrap confidence bands

Wolfgang Härdle, Ya'acov Ritov and Song Song

2010-001: Volatility investing with variance swaps

Wolfgang Härdle and Elena Silyakova

2009-065: Neuroeconomics and aging: Neuromodulation of economic decision making in old age

Peter N. C. Mohr, Shu-Chen Li and Hauke Heekeren

2009-064: Altered Function of Ventral Striatum during Reward-Based Decision Making in Old Age

Thomas Mell, Isabell Wartenburger, Alexander Marschner, Arno Villringer, Friedel M. Reischies and Hauke Heekeren

2009-063: Quantifying high-frequency market reactions to real-time news sentiment announcements

Axel Groß-Klußmann and Nikolaus Hautsch

2009-062: Interest rate dynamics and monetary policy implementation in Switzerland

Puriya Abbassi, Dieter Nautz and Christian Offermanns

2009-061: Is cross-category brand loyalty determined by risk aversion?

Nadja Silberhorn and Lutz Hildebrandt

2009-060: Renting versus owning and the role of income risk: The case of Germany

Rainer Schulz, Martin Wersing and Axel Werwatz

2009-059: Der Einfluss von Exporten auf die betriebliche Entwicklung

Stefan Mangelsdorf

2009-058: Polar sets of anisotropic Gaussian random fields

Jakob Söhl

2009-057: Real and nominal rigidities in price setting: A bayesian analysis using aggregate data

Fang Yao

2009-056: Product policy and the East-West productivity gap

Bernd Görzig, Martin Gornig, Ramona Voshage and Axel Werwatz

2009-055: Representations for optimal stopping under dynamic monetary utility functionals

Volker Krätschmer and John G. M. Schoenmakers

2009-054: Depression econometrics: A FAVAR model of monetary policy during the Great Depression

Pooyan Amir Ahmadi and Albrecht Ritschl

2009-053: Monetary policy implementation and overnight rate persistence

Dieter Nautz and Jan Scheithauer

2009-052: On economic evaluation of directional forecasts

Oliver J. Blaskowitz and Helmut Herwartz

2009-051: The market impact of a limit order

Nikolaus Hautsch and Ruihong Huang

2009-050: Generalized single-index models: The EFM approach

Xia Cui, Wolfgang Härdle and Lixing Zhu

2009-049: A blocking and regularization approach to high dimensional realized covariance estimation

Nikolaus Hautsch, Lada M. Kyj and Roel Oomen

2009-048: Migration of the highly skilled: Can Europe catch up with the US?

Lydia Mechtenberg and Roland Strausz

2009-047: MM-Stat - MultiMedia-Statistik: Statistische Datenanalyse - webbasiert, interaktiv und multimedial

Sigbert Klinke, Dina Kuhlee, Christian Theel, Cornelia Wagner and Christian Westermeier

2009-046: Pricing of Asian temperature risk

Fred Benth, Wolfgang Härdle and Brenda López Cabrera

2009-045: Quantifizierbarkeit von Risiken auf Finanzmärkten

Wolfgang Härdle and Christian F. W. Kirchner

2009-044: Modelling and forecasting liquidity supply using semiparametric factor dynamics

Wolfgang Härdle, Nikolaus Hautsch and Andrija Mihoci