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Network effects, compatibility, and adoption of standards

Grajek, Michał - 2005

standard and international trade. The estimation results allow us to formulate some interesting policy conclusions. …

Persistent link: https://www.econbiz.de/10009467122

Asymmetrische Effekte der Geldpolitik auf die Industrie in der Bundesrepublik Deutschland - eine Untersuchung auf Branchenebene

Hock, Thorsten - 2003

Die Arbeit setzt sich mit Unterschieden des geldpolitischen Transmissionsprozesses im Verarbeitenden Gewerbe der Bundesrepublik Deutschland auseinander. Dazu wird der Sektor nach der Systematik der BACH-Datenbank der europäischen Kommission in 10 Branchen eingeteilt. An eine kurze Betrachtung...

Persistent link: https://www.econbiz.de/10009433722

Three Essays on Estimation and Dynamic Modelling of Multivariate Market Risks using High Frequency Financial Data

Voev, Valeri - 2008

This dissertation consists of three stand-alone research papers, all of which treat the topic of estimation and dynamic … categories - estimation (Chapter 1 and 2) and dynamic modelling (Chapter 3), and are intentionally arranged in a particular … assets in the presence of a host of market microstructure frictions. An extension to this problem, where both the estimation …

Persistent link: https://www.econbiz.de/10009471603

Why Does Implied Risk Aversion Smile?

Ziegler, Alexandre - 2002

This paper shows that preferences alone cannot explain the patterns reported in the literature.

Persistent link: https://www.econbiz.de/10005843337

Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates

Perignon, Christophe; Villa, Christophe - 2002

This paper proposes a novel methodology, based on the Common Principal Component analysis, allowing one to estimate the factors driving the term structure of interest rates, in the presence of time-varying covariance structure.

Persistent link: https://www.econbiz.de/10005843340

Closed Form Integration of Artificial Neural Networks With Some Applications to Finance

Gottschling, Andreas; Haefke, Christian; White, Halbert - 1999

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

Persistent link: https://www.econbiz.de/10005843731

Bayesian Analysis of Structural Effects in an OrderedEquation System

Li, Mingliang; Tobias, Justin L. - Iowa State University of Science and Technology <Ames, … - 2005

We describe a simulation-based algorithm for Bayesian estimation of structuraleffects in models where the outcome of …

Persistent link: https://www.econbiz.de/10009360896

Is the Pricing Kernel U-Shaped?

Schweri, Urs - National Centre of Competence in Research - Financial … - 2011

There is strong empirical evidence that the pricing kernel is Ushaped,which provides a way to explain the substantial coskewnesspremium. Existing studies typically use a polynomial approximationof the pricing kernel. Problematically, these polynomials have, inmost cases, increasing parts by...

Persistent link: https://www.econbiz.de/10009418982

Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Ledoit, Olivier; Wolf, Michael - National Centre of Competence in Research - Financial … - 2011

Many statistical applications require an estimate of a covariance matrix and/or its inverse.When the matrix dimension is large compared to the sample size, which happensfrequently, the sample covariance matrix is known to perform poorly and may suffer fromill-conditioning. There already exists...

Persistent link: https://www.econbiz.de/10009486994

Unternehmensnachfolgen in Deutschland 2010 bis 2014

Hauser, Hans-Eduard; Kay, Rosemarie - Institut für Mittelstandsforschung <Bonn> - 2010

[...]Ziel des vorliegenden Beitrags ist es, eine derartige Weiterentwicklung des Schätzverfahrens darzulegen und eine Neuberechnung der innerhalb der nächsten fünf Jahre zu erwartenden Unternehmensnachfolgen unter Anwen-dung dieses Schätzverfahrens vorzunehmen. Grundlage hierfür ist ein...

Persistent link: https://www.econbiz.de/10009129511