Narrow search
Showing 1 - 10 of 71
Cover Image
The success of currency reforms to end great inflations : an empirical analysis of 34 high inflations
Bernholz, Peter (contributor); Kugler, Peter (contributor) - 2007
The estimation of an ordered probit model for currency reforms trying to end 31 hyperinflations and three big inflations of the 20th century shows that the introduction of an independent central bank and the adoption of a credibly fixed exchange rate are crucial for the success of a currency...
Persistent link: https://www.econbiz.de/10003666987
Cover Image
The price revolution in the 16th century : empirical results from a structural vectorautoregression model
Bernholz, Peter (contributor); Kugler, Peter (contributor) - 2007
This paper provides empirical evidence in favor of the hypothesis that the secular price increase in the 16th century is mainly caused by money supply developments as the discovery of new mines in Latin America. First we review price developments for several European countries over the 16th...
Persistent link: https://www.econbiz.de/10003666993
Cover Image
Knowledge and networks
Glückler, Johannes (ed.); Lazega, Emmanuel (ed.);  … - Klaus Tschira Stiftung - 2017
for a long time: social network theory and the geography of knowledge. This book considers that relational thinking has … Li -- Studying Networks Geographically: World Political Regionalization in the United Nations General Assembly (1985 … Among Swedish Municipalities: Is Sweden a Small World?: Christopher Ansell, Martin Lundin, and Per Ola Öberg -- The …
Persistent link: https://www.econbiz.de/10011607723
Cover Image
Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
Cover Image
Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10003881566
Cover Image
Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10003887437
Cover Image
A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10003893144
Cover Image
Testing the correlated random coefficient model
Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2009
The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...
Persistent link: https://www.econbiz.de/10003907131
Cover Image
A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10003909174
Cover Image
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation …
Persistent link: https://www.econbiz.de/10008663394