We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

Many researchers seem to be unsure about how to specify formative measurement models in software programs like LISREL or AMOS and to establish identification of the corresponding structural equation model. In order to make identification easier, a new, mainly graphicallyoriented approach is...

Dieser Beitrag setzt sich mit der Leistungsfähigkeit von Strukturgleichungsmodellen bei derValiditätsprüfung von Messmodellen für hypothetische Konstrukte auseinander und geht aufausgewählte Problembereiche bei der gängigen Anwendung dieser Methodik für dieSkalenkonstruktion ein....

Die Berechnung des VaR führt zur Reduktion der Dimension des Raumes der Risikofaktoren. Die vorzunehmenden Vereinfachungen resultieren aus unterschiedlichen Beweggründen, z.B. technische Effizienz, Sachlogik der Ergebnisse und statistische Adäquanz des Modells. Im Kapitel 2 stellen wir drei...

We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U.S., building on the Lee-Carter approach and extendingit in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables underlying...

We use a Bayesian dynamic factor model to measure Germanys pre WorldWar I economic activity. The procedure makes better use of existing time seriesdata than historical national accounting. To investigate industrializationwe propose to look at comovement between sectors. We find that...

We analyze the impact of short-run economic fluctuations on age-specific mortality usingBayesian time series econometrics and contribute to the debate on the procyclicality ofmortality. For the first time, we examine the differing consequences of economic changesfor all individual age classes....

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-minsquared mid-quote returns, average trade sizes, number of...

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...