The trade-off theory on capital structure is tested by modelling the capital structure target asthe solution to a maximization problem. This solution maps asset volatility and loss givendefault to optimal leverage. By applying nonlinear structural equation modelling, theseunobservable variables...

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...

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...

Predicting default probabilities is important for firms and banks to operate successfully and to estimate their specific risks. There are many reasons to use nonlinear techniques for predicting bankruptcy from financial ratios. Here we propose the so called Support Vector Machine (SVM) to...

In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth,seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...

Comparing groups with respect to hypothetical constructs requires that the measurement models are equal across groups. Otherwise conclusions drawn from the observed indicators regarding differences at the latent level (mean differences, differences in the structural relations) might be severly...

Numerous studies have tried to provide a better understanding of firm-level investment behaviour using econometric models. The model specification of more recent studies has been based on two main approaches. The first, the real options approach, focuses on irreversibility and uncertainty in...

Integrated choice and latent variable (ICLV) models represent a promising newclass of models which merge classic choice models with the structural equation approach (SEM) for latent variables. Despite their conceptual appeal, to date applications of ICLV models in marketing are still rare. The...

In klassischen Wahlmodellen wird davon ausgegangen, dass sich ein beobachtetes Verhalten durch einen nicht näher spezifizierbaren Evaluationsprozess des beobachteten Individuums ergibt. Ist die Aufdeckung dieses Prozesses von Interesse, stoßen reine Wahlmodelle schnell an ihre methodischen...

In this paper we propose a novel methodology to analyze optimal policies undermodel uncertainty in micro-founded macroeconomic models. As an application weassess the relevant sources of uncertainty for the optimal conduct of monetary policy within (parameter uncertainty) and across models...