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Confidence intervals for state price densities
Hlávka, Zdeněk (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001916784
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Nonparametric and semiparametric estimation of additive models with both discrete continuous variables under dependence
Camlong-Viot, Christine (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001916840
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Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface
Fengler, Matthias R. (contributor); Wang, Qihua (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919426
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Multivariate volatility models
Fengler, Matthias R.; Herwartz, Helmut - 2001
Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...
Persistent link: https://www.econbiz.de/10009615423
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Overeducation, undereducation, and the theory of career mobility
Büchel, Felix; Mertens, Antje - 2001
The theory of career mobility (Sicherman and Galor 1990) claims that wage penalties for overeducated workers are … compensated by better promotion prospects. Sicherman (1991) was able to confirm this theory in an empirical study. However, the …
Persistent link: https://www.econbiz.de/10009616783
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Money and banks : some theory and empirical evidence for Germany
Holtemöller, Oliver - 2002
in Germany in the period of monetary targeting from 1975 to 1998 is estimated. The implications of the theoretical model …. -- monetary policy ; Endogenous money ; industrial organization approach to banking theory ; money multiplier ; vector error …
Persistent link: https://www.econbiz.de/10009620766
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Nonlinear GARCH models for highly persistent volatility
Lanne, Markku; Saikkonen, Pentti - 2002
related to relatively infrequent changes in regime. U sing the theory of Markov chains we provide sufficient conditions for …
Persistent link: https://www.econbiz.de/10009621424
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Exploring credit data
Müller, Marlene; Härdle, Wolfgang - 2002
of a credit score and the estimation of the probability of default. One of the standard approaches is logistic … technique is based on the theory generalized partial linear models. We illustrate the advantages of this approach using a …
Persistent link: https://www.econbiz.de/10009627282
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Was there a regime change in the German monetary transmission mechanism in 1983?
Candelon, Bertrand; Lütkepohl, Helmut - 2000
Recent investigations of the transmission mechanism of German monetary policy arrive at quite different conclusions regarding its stability during the period of monetary targeting by the Bundesbank. In this study small dynamic models for the monetary sector of the German economy are analyzed in...
Persistent link: https://www.econbiz.de/10009583433