State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...

In this study a framework for an online database-driven repository of information – QuantNet – is presented. QuantNet is aimed at easing the process of web publishing for those who are unfamiliar with technical details and markup languages. At the same time advanced users are provided with...

Along with many others, we agree that a modern education in statistics needs toincorporate the practical analysis of real datasets, which are usually more complex than the common examples found in standard textbooks. The software used in the teaching of statistics includes standard spreadsheet...

The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices...

This paper is an exercise in dating the Euro area business cycle on a monthly basis. Using a quite flexible interpolation routine, we construct several monthly series of Euro area real GDP, and then apply the Bry-Boschan (1971) procedure. To account for the asymmetry in growth regimes and...

East German wages have been below the West German wage level since unification. Moreover, the East-West wage gap implied by the contractual wagesspecified in collective wage agreements is drifting ever further apart from the wagegap in terms of effective wages. This paper looks at the role of...

GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is violated. In particular, the well known integrated GARCH effect can be...

Graphical data representation is an important tool for model selection in bankruptcy analysis since the problem is highly non-linear and its numericalrepresentation is much less transparent. In classical rating models a convenientrepresentation of ratings in a closed form is possible reducing...

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...

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...