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Weder, Mark - 2001

This paper entertains the notion that disturbances on the demand side play a central role in our understanding of the Great Depression. In fact, from Euler equation residuals we are able to identify a series of unusually large negative demand shocks that appeared to have hit the U. S. economy...

Persistent link: https://www.econbiz.de/10009614288

Animal spirits, technology shocks and the business cycle

Weder, Mark - 1997

In this paper a two-sector growth model allowing indeterminacy to occur at relatively mild degrees of increasing returns is developed. It is shown that these economies of scale need only be present in one sector of the economy (investment). This feature of the model, therefore, builds on...

Persistent link: https://www.econbiz.de/10009659067

Real estate valuation according to standardized methods : an empirical analysis

Schulz, Rainer - 2002

Appraisals are needed for decision-making and for performance evaluation. Knowledge on the accuracy of valuation methods is of general interest for banks and investors. We assess the accuracy of the German Regulation on Valuation with monthly data on appraisals and prices for commercial...

Persistent link: https://www.econbiz.de/10009625798

A state space model for Berlin house prices

Schulz, Rainer; Werwatz, Axel - 2001

How risky are investments in residential real estate? To answer this question, information is needed about the behavior of house prices. The hedonic methodology has become a standard approach for modelling the prices of heterogeneous assets. Although intuitively appealing, it is often criticized...

Persistent link: https://www.econbiz.de/10009614878

Quantile hedging

Föllmer, Hans; Leukert, Peter - 1998

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

Persistent link: https://www.econbiz.de/10009574876

Did sunspot cause the Great Depression?

Harrison, Sharon G.; Weder, Mark - 2002

We apply a dynamic general equilibrium model to the period of the Great Depression. In particular, we examine a modification of the real business cycle model in which the possibility of indeterminacy of equilibria arises. In other words, agents' self-fulfilling expectations can serve as a...

Persistent link: https://www.econbiz.de/10009621410

Implied volatility string dynamics

Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - 2003

A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this …, neglects the degenerated string structure of the implied volatility data and may result in a severe modelling bias. We propose … value at risk computations and scenario analysis. -- Implied Volatility Surface ; Smile ; Generalized Additive Models …

Persistent link: https://www.econbiz.de/10009663844

A simple state space model of house prices

Schulz, Rainer; Werwatz, Axel - 2002

Persistent link: https://www.econbiz.de/10009622676

Efficient hedging : cost versus shortfall risk

Föllmer, Hans; Leukert, Peter - 1999

-)hedge, depending on the accepted level of shortfall risk. -- risk management ; stochastic volatility ; shortfall risk ; Hedging …

Persistent link: https://www.econbiz.de/10009579176

No free lunch for large investors

Bank, Peter - 1999

We study an extension of the classical B1ack-Scholes model which accounts for feedback effects from trading in an imperfectly elastic market. The proposed semi-martingale model may be viewed as a compromise between the diffusion approach in, e.g., (Cuoco and Cvitanic 1998), (Cvitanic and Ma...

Persistent link: https://www.econbiz.de/10009580477

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