Discussion Papers in Econometrics and Statistics

From University of Cologne, Institute of Econometrics and Statistics
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02/14: Considering the extremely poor: Multidimensional poverty measurement for Germany

Daniel Nowak and Christoph Scheicher

01/14: Geometrical framework for robust portfolio optimization

Pavel Bazovkin

1/13: A Jarque-Bera test for sphericity of a large-dimensional covariance matrix

Konstantin Glombek

1/12: Fast nonparametric classification based on data depth

Tatjana Lange, Karl Mosler and Pavlo Mozharovskyi

7/11: Confidence in prior knowledge: Calibration and impact on portfolio performance

Tobias Wickern

6/11: Stochastic linear programming with a distortion risk constraint

Pavel Bazovkin and Karl Mosler

5/11: Default probability estimation in small samples: With an application to sovereign bonds

Walter Orth

4/11: Construction of uncertainty sets for portfolio selection problems

Christof Wiechers

3/11: Multi-period credit default prediction with time-varying covariates

Walter Orth

2/11: On the diversification of portfolios of risky assets

Gabriel Frahm and Christof Wiechers

1/11: On the causes of car accidents on German Autobahn connectors

Martin Garnowski and Hans Manner

8/10: Explaining time-varying risk of electricity forwards: trading activity and news announcements

Frowin C. Schulz

7/10: Forecasting international stock market correlations: does anything beat a CCC?

Hans Manner and Olga Reznikova

6/10: An exact algorithm for weighted-mean trimmed regions in any dimension

Pavel Bazovkin and Karl Mosler

5/10: Multiple tests for the performance of different investment strategies

Gabriel Frahm, Tobias Wickern and Christof Wiechers

4/10: Robust estimation of integrated variance and quarticity under flat price and no trading bias

Frowin C. Schulz

3/10: On the life course perspective in income related health inequalities: a semiparametric approach

Martin Siegel and Karl Mosler

2/10: The predictive accuracy of credit ratings: measurement and statistical inference

Walter Orth

1/10: An analytical investigation of estimators for expected asset returns from the perspective of optimal asset allocation

Gabriel Frahm

3/08: Measuring polarization via poverty and affluence

Christoph Scheicher

2/08: Dominating estimators for the global minimum variance portfolio

Gabriel Frahm and Christoph Memmel

1/08: A general approach to Bayesian portfolio optimization

Alexander Bade, Gabriel Frahm and Uwe Jaekel

9/07: Dependence of stock returns in bull and bear markets

Jadran Dobrić, Gabriel Frahm and Friedrich Schmid

7/07: Testing for the best alternative with an application to performance measurement

Gabriel Frahm

6/07: Anmerkungen zur Aggregation von Intelligenzquotienten

Gabriel Frahm and Gert Mittring

5/07: Asymptotic distributions of robust shape matrices and scales

Gabriel Frahm

3/07: A generalization of Tyler's M-estimators to the case of incomplete data

Gabriel Frahm and Uwe Jaekel

2/07: Tyler's M-estimator, random matrix theory, and generalized elliptical distributions with applications to finance

Gabriel Frahm and Uwe Jaekel

1/07: Linear statistical inference for global and local minimum variance portfolios

Gabriel Frahm

2/06: Cross-city hedging with weather derivatives using bivariate DCC GARCH models

Peter Kosater

1/06: On the impact of weather on German hourly power prices

Peter Kosater

1/05: Can Markov-regime switching models improve power price forecasts? Evidence for German daily power prices

Peter Kosater and Karl Mosler

2/04: Studienaufbau und Studienerfolg von Kölner Volks- und Betriebswirten im Hauptstudium

Karl Mosler and Alexandre Savine

1/04: Studienaufbau und Studienerfolg von Kölner Volks- und Betriebswirten im Grundstudium

Karl Mosler and Alexandre Savine

2/00: Nonparametric tests based on area-statistics

Stefan Kraft and Friedrich Schmid

3/99: Price majorization and the inverse Lorenz function

Gleb Koshevoy and Karl Mosler

1/99: Disparitätsmessung aus klassierten Daten mittels Schätzung von entropiemaximalen Dichtefunktionen

André Lucas

1/98: Checking for orthant orderings between discrete multivariate distributions: An algorithm

Rainer Dyckerhoff, Hartmut Holz and Karl Mosler

3/97: A power comparison of homogeneity tests in mixtures of exponentials

Karl Mosler, Wilfried Seidel and Christoph Jaschinger

2/97: Making mobility visible: A graphical device

Mark Trede

1/97: Simultaneous inference for proportions in arbitrary sampling designs

Andreas Stich

6/96: Die Entwicklung der Anbieterkonzentration auf dem deutschen Erstversicherungsmarkt von 1991 bis 1994

Andreas Eurich, Andreas Stich and Gerd Weidenfeld

5/96: Poverty and life cycle effects: A nonparametric analysis for Germany

Andreas Stich

5/96 [rev.]: Poverty and life cycle effects: A nonparametric analysis for Germany

Andreas Stich

4/96: Inequality and negative income

Andreas Stich

2/96: Nonparametric inference for second order stochastic dominance

Friedrich Schmid and Mark Trede

10/95: Insurance and concentration: The change of concentration in the Swedish and Finnish insurance market 1989-1993

Andreas Stich

9/95: Taxation of labor and capital income in an OLG model with home production and endogenous fertility

Burkhard Heer

8/95: Choosing the optimal bandwidth in case of correlated data

Klaus Brachmann

7/95: Multivariate Gini indices

Gleb Koshevoy and Karl Mosler

5/95: Nichtparametrische Analyse parametrischer Wachstumsfunktionen: Eine Anwendung auf das Wachstum des globalen Netzwerks Internet

Klaus Brachmann

2/95: Die axiomatische Herleitung einer Klasse von dynamischen Ungleichheitsmaßen

Andreas Stich

1/95: The age-profile of earnings mobility: Statistical inference for conditional kernel density estimates

Mark Trede

4/94: Statistical inference in mobility measurement: Sex differences in earnings mobility

Mark Trede