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De copulis non estdisputandum Copulae: An Overview

Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

Normal distribution of the residuals is the traditional assumption in the classicalmultivariate time series models. Nevertheless it is not very often consistent with the real data.Copulae allows for an extension of the classical time series models to nonelliptically distributedresiduals. In this...

Persistent link: https://www.econbiz.de/10005865416

Does Temporary Agency Work Provide a Stepping Stone to Regular Employment?

Kvasnicka, Michael - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

Based on administrative data from the federal employment office in Germany, we apply matching techniques to estimate …

Persistent link: https://www.econbiz.de/10005861992

Empirical Pricing Kernels and Investor Preferences

Detlefsen, Kai; Härdle, Wolfgang; Moro, Rouslan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for three market regimes. Aconsistent parametric framework of stochastic volatility is used. All empiricalmarket utility functions show a region of risk proclivity that is...

Persistent link: https://www.econbiz.de/10005861046

Family Management, Family Ownership and Downsizing: Evidence from S&P 500 Firms

Block, Jörn Hendrich - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

Little is known about the relationship between family firms and their employees. This paper aims to close this gap. We distinguish between family management and family ownership as two dimensions of family firms and analyze their respective influence on downsizing. Our findings show that family...

Persistent link: https://www.econbiz.de/10005860572

Statistics E-learning Platforms Evaluation: Case Study

Ahmad, Taleb; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

students views? In this paper,we consider evaluate e-learning systems in statistics. We make an evaluation study, weanalyze a … students sample of the methods: Factor analysis, Logit model. The commonaim of this evaluation is to provide data to justify …. Thequestionnaire covers information about e-learning evaluation criterias. Some of thesecriterias are: Navigability, applicability …

Persistent link: https://www.econbiz.de/10005862546

Optimal Smoothing for aComputationally andStatistically Efficient SingleIndex Estimator

Xia, Yingcun; Härdle, Wolfgang; Linton, Oliver - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

In semiparametric models it is a common approach to under-smooth the nonparametric functions inorder that estimators of the finite dimensional parameters can achieve root-n consistency. The requirementof under-smoothing may result as we show from inefficient estimation methods or technical...

Persistent link: https://www.econbiz.de/10008939775

Localized RealizedVolatility Modelling

Chen, Ying; Härdle, Wolfgang; Pigorsch, Uta - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

With the recent availability of high-frequency nancial data the longrange dependence of volatility regained researchers' interest and has leadto the consideration of long memory models for realized volatility. Thelong range diagnosis of volatility, however, is usually stated for long...

Persistent link: https://www.econbiz.de/10008939795

On the Systemic Natureof Weather Risk

Filler, Günther; Odening, Martin; Okhrin, Ostap; Xu, Wei - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

Systemic weather risk is a major obstacle for the formation of private (non-subsidized) crop insurance. This paper explores the possibility of spatial diversication ofinsurance by estimating the joint occurrence of unfavorable weather conditions in dierentlocations. For that purpose copula...

Persistent link: https://www.econbiz.de/10008939796

Measuring and Modeling Risk Using High-Frequency Data

Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

{called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

Persistent link: https://www.econbiz.de/10005860514

Modeling Dependencies in Finance using Copulae

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the dependency structure between random variables, next we explain the...

Persistent link: https://www.econbiz.de/10005860518