Statistische Prognosen basieren auf der Annahme, dass ein funktionaler Zusammenhang zwischen der zu prognostizierenden Variable y und anderen j-dimensional beobachtbaren Variablen x = (x1,...xl) besteht. Kann der funktionale Zusammenhang geschätzt werden, so kann im Prinzip für jedes x der...

Risk attitude and perception is reflected in brain reactions during RPID experiments. Given the fMRI data, an important research question is how to detect risk related regions and to investigate the relation between risk preferences and brain activity. Conventional methods are often insensitive...

Source extraction and dimensionality reduction are important in analyzing high dimensional and complex financial time series that are neither Gaussian distributed nor stationary. Independent component analysis (ICA) method can be used to factorize the data into a linear combination of...

Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...

Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory. There are however limitations of some widely-used risk management methods that either calculate risk measures under the Gaussian distributional assumption or involve numerical...

With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...

Market value predictions for residential properties are important for investment decisions and the risk management of households, banks, and real estate developers. The increased access to market data has spurred the development and application of Automated Valuation Models (AVMs), which can...

We use Adaptive Weights Smoothing (AWS) of Polzehl and Spokoiny (2000, 2003, 2006) to estimate a map of land values for Berlin, Germany. Our data are prices of undeveloped land that was transacted between 1996-2009. Even though the observed land price is an indicator of the respective land...

The quality of newly constructed single-family houses is usually homogeneous in and heterogeneous between neighborhoods. Such quality-clustering will be caused by the variation of natural amenities throughout a suburban area. Clustering will be enforced if the quality of neighboring buildings...

The price for a single-family house depends both on the characteristics of the building and on its location. We propose a novel semiparametric method to extract location values from house prices. After splitting house prices into building and land components, location values are estimated with...