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Bootstrap of kernel smoothing in nonlinear time series

Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - 1997

Kernel smoothing in nonparametric autoregressive schemes offers a powerful tool in modelling time series. In this paper it is shown that the bootstrap can be used for estimating the distribution of kernel smoothers. This can be done by mimicking the stochastic nature of the whole process in the...

Persistent link: https://www.econbiz.de/10009632604

A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds

Riedel, Frank - 1997

The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we...

Persistent link: https://www.econbiz.de/10009632605

Learning to like what you have : explaining the endowment effect

Huck, Steffen; Kirchsteiger, Georg; Oechssler, Joerg - 1997

The endowment effect describes the fact that people demand much more to give up an object than they are willing to spend to acquire it. The existence of this effect has been documented in numerous experiments. We attempt to explain this effect by showing that evolution favors individuals whose...

Persistent link: https://www.econbiz.de/10009657123

Optional decompositions under constraints

Föllmer, Hans; Kramkov, D. O. - 1997

Motivated by a hedging problem in mathematical finance, El Karoui and Quenez [7] and Kramkov [14] have developed optional versions of the Doob-Meyer decomposition which hold simultaneously for all equivalent martingale measures. We investigate the general structure of such optional...

Persistent link: https://www.econbiz.de/10009657127

Indirect evolution versus strategic delegation : a comparison of two approaches to explaining economic institutions

Dufwenberg, Martin; Güth, Werner - 1997

The two major methods of explaining economic institutions, namely by strategic choices or by (indirect) evolution, are compared for the case of a homogenous quadratic duopoly market. Sellers either can provide incentives for their agents to care for sales (amounts) or evolve as sellers who care...

Persistent link: https://www.econbiz.de/10009657129

On L2-projections on a space of stochastic integrals

Rheinländer, Thorsten; Schweizer, Martin - 1997

Persistent link: https://www.econbiz.de/10009657132

Price variability and price dispersion in a stable monetary environment : evidence from German retail markets

Fengler, Matthias R.; Winter, Joachim - 2000

We investigate the relationship between inflation and price variation using highly disaggregated, weekly price data for … consumption goods recorded in Germany during 1995, a low inflation period. We find a significant positive correlation between the … correlated with price changes. As the rate of inflation rises, both variability and dispersion become affected. During …

Persistent link: https://www.econbiz.de/10009612033