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The costs of not knowing the radius
Rieder, Helmut; Kohl, Matthias; Ruckdeschel, Peter - 2001
We determine the increase of the maximum risk over the minimax risk in the case that the optimally robust estimator for the false radius is used. This is done by numerical solution of the implicit equations which determine optimal robustness, for location, scale, and linear regression models,...
Persistent link: https://www.econbiz.de/10009616786
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Presents or investments? : an experimental analysis
Genîzî, Ûrî; Güth, Werner; Verboven, Frank - 1998
.’s investment game by introducing an upper bound to what a contributor can be repaid afterwards. By varying this upper bound …
Persistent link: https://www.econbiz.de/10009578011
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Semiparametric modelling of the cross-section of expected returns in the German stock market
Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997
because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables … two variables. They report also that in the 1963-1990 period beta has virtually no explanatory power. This paper looks at …" nonlinear model for the relationship between rates of return, beta, size and book-to-market. The model and corresponding …
Persistent link: https://www.econbiz.de/10009661022
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Notes on an endogenous growth model with two capital stocks i : the deterministic case
Bethmann, Dirk - 2002
This paper extends the class of AK models with an explicit solution to the case where there are two capital goods in the model. this extension holds, even if an external effect in the use of human capital in goods production ia assumed.
Persistent link: https://www.econbiz.de/10009626676
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Cost competition, fragmentation and globalization
Burda, Michael C.; Dluhosch, Barbara - 2001 - Rev.
This paper proposes a model in which the removal of barriers to trade and factor mobility is associated with endogenous fragmentation of the value-added chain. Fragmentation is the outcome of cost competition - the profit-maximizing choice of cost structure by monopolistically competitive firms....
Persistent link: https://www.econbiz.de/10009613595
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Optimal consumption choice for ratchet investors
Riedel, Frank - 2001
The utility maximization problem of "ratchet investors" who do not tolerate any decline in their consumption rate is solved explicitly for all felicity functions in a Markovian framework which includes Brownian motion and Poisson processes as special cases. The optimal consumption plan turns out...
Persistent link: https://www.econbiz.de/10009616776
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Trust and reciprocity in the investment game with indirect reward
Güth, Werner; Königstein, Manfred; Marchand, Nadège; … - 2000
contracting is infeasible. One example is the study by Berg et al. (1995) of the investment game. In this game the person who … receives the investment is the one who may reward the investor. This is a direct reward game. Similar to Dufwenberg et al … investor may only be rewarded by a third person who did not receive his investment. Furthermore we investigate the influence of …
Persistent link: https://www.econbiz.de/10009612013
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Weekday dependence of German stock market returns
Herwartz, Helmut - 1999
The so-called 'Monday effect ' has been found for various stock markets of the world. The empirical finding that Monday returns are significantly smaller than returns measured for the remaining days of the week calls the efficiency hypothesis for pricing processes operating on stock markets into...
Persistent link: https://www.econbiz.de/10009580468
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Adaptive estimation for a time inhomogeneous stochastic-volatility model
Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000
Let a process SI , ... ,ST obey the conditionally heteroskedastic equation St = Vt Et whcrc Et is a random noise and Vt is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an additional noise nt. We consider the situation which the...
Persistent link: https://www.econbiz.de/10009582392
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Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods
Lillestøl, Jostein - 2000 - Rev.
The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods. --...
Persistent link: https://www.econbiz.de/10009612011