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Discussion Papers in Econometrics and Statistics

From University of Cologne, Institute of Econometrics and Statistics
Contact information at EDIRC.

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02/14: Considering the extremely poor: Multidimensional poverty measurement for Germany Downloads
Daniel Nowak and Christoph Scheicher
01/14: Geometrical framework for robust portfolio optimization Downloads
Pavel Bazovkin
1/13: A Jarque-Bera test for sphericity of a large-dimensional covariance matrix Downloads
Konstantin Glombek
1/12: Fast nonparametric classification based on data depth Downloads
Tatjana Lange, Karl Mosler and Pavlo Mozharovskyi
7/11: Confidence in prior knowledge: Calibration and impact on portfolio performance Downloads
Tobias Wickern
6/11: Stochastic linear programming with a distortion risk constraint Downloads
Pavel Bazovkin and Karl Mosler
5/11: Default probability estimation in small samples: With an application to sovereign bonds Downloads
Walter Orth
4/11: Construction of uncertainty sets for portfolio selection problems Downloads
Christof Wiechers
3/11: Multi-period credit default prediction with time-varying covariates Downloads
Walter Orth
2/11: On the diversification of portfolios of risky assets Downloads
Gabriel Frahm and Christof Wiechers
1/11: On the causes of car accidents on German Autobahn connectors Downloads
Martin Garnowski and Hans Manner
8/10: Explaining time-varying risk of electricity forwards: trading activity and news announcements Downloads
Frowin C. Schulz
7/10: Forecasting international stock market correlations: does anything beat a CCC? Downloads
Hans Manner and Olga Reznikova
6/10: An exact algorithm for weighted-mean trimmed regions in any dimension Downloads
Pavel Bazovkin and Karl Mosler
5/10: Multiple tests for the performance of different investment strategies Downloads
Gabriel Frahm, Tobias Wickern and Christof Wiechers
4/10: Robust estimation of integrated variance and quarticity under flat price and no trading bias Downloads
Frowin C. Schulz
3/10: On the life course perspective in income related health inequalities: a semiparametric approach Downloads
Martin Siegel and Karl Mosler
2/10: The predictive accuracy of credit ratings: measurement and statistical inference Downloads
Walter Orth
1/10: An analytical investigation of estimators for expected asset returns from the perspective of optimal asset allocation Downloads
Gabriel Frahm
3/08: Measuring polarization via poverty and affluence Downloads
Christoph Scheicher
2/08: Dominating estimators for the global minimum variance portfolio Downloads
Gabriel Frahm and Christoph Memmel
1/08: A general approach to Bayesian portfolio optimization Downloads
Alexander Bade, Gabriel Frahm and Uwe Jaekel
9/07: Dependence of stock returns in bull and bear markets Downloads
Jadran Dobrić, Gabriel Frahm and Friedrich Schmid
7/07: Testing for the best alternative with an application to performance measurement Downloads
Gabriel Frahm
6/07: Anmerkungen zur Aggregation von Intelligenzquotienten Downloads
Gabriel Frahm and Gert Mittring
5/07: Asymptotic distributions of robust shape matrices and scales Downloads
Gabriel Frahm
3/07: A generalization of Tyler's M-estimators to the case of incomplete data Downloads
Gabriel Frahm and Uwe Jaekel
2/07: Tyler's M-estimator, random matrix theory, and generalized elliptical distributions with applications to finance Downloads
Gabriel Frahm and Uwe Jaekel
1/07: Linear statistical inference for global and local minimum variance portfolios Downloads
Gabriel Frahm
2/06: Cross-city hedging with weather derivatives using bivariate DCC GARCH models Downloads
Peter Kosater
1/06: On the impact of weather on German hourly power prices Downloads
Peter Kosater
1/05: Can Markov-regime switching models improve power price forecasts? Evidence for German daily power prices Downloads
Peter Kosater and Karl Mosler
2/04: Studienaufbau und Studienerfolg von Kölner Volks- und Betriebswirten im Hauptstudium Downloads
Karl Mosler and Alexandre Savine
1/04: Studienaufbau und Studienerfolg von Kölner Volks- und Betriebswirten im Grundstudium Downloads
Karl Mosler and Alexandre Savine
2/00: Nonparametric tests based on area-statistics Downloads
Stefan Kraft and Friedrich Schmid
3/99: Price majorization and the inverse Lorenz function Downloads
Gleb Koshevoy and Karl Mosler
1/99: Disparitätsmessung aus klassierten Daten mittels Schätzung von entropiemaximalen Dichtefunktionen Downloads
André Lucas
1/98: Checking for orthant orderings between discrete multivariate distributions: An algorithm Downloads
Rainer Dyckerhoff, Hartmut Holz and Karl Mosler
3/97: A power comparison of homogeneity tests in mixtures of exponentials Downloads
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 [rev.]: Poverty and life cycle effects: A nonparametric analysis for Germany Downloads
Andreas Stich
5/96: Poverty and life cycle effects: A nonparametric analysis for Germany Downloads
Andreas Stich
4/96: Inequality and negative income
Andreas Stich
2/96: Nonparametric inference for second order stochastic dominance Downloads
Friedrich Schmid and Mark Trede
10/95: Insurance and concentration: The change of concentration in the Swedish and Finnish insurance market 1989-1993 Downloads
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 Downloads
Klaus Brachmann
7/95: Multivariate Gini indices Downloads
Gleb Koshevoy and Karl Mosler
5/95: Nichtparametrische Analyse parametrischer Wachstumsfunktionen: Eine Anwendung auf das Wachstum des globalen Netzwerks Internet Downloads
Klaus Brachmann
2/95: Die axiomatische Herleitung einer Klasse von dynamischen Ungleichheitsmaßen Downloads
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
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