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International investment positions and exchange rate dynamics

Binder, Michael; Offermanns, Christian J. - 2014

We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...

Persistent link: https://www.econbiz.de/10010414236

Time varying hierarchical archimedean copulae

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010

There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...

Persistent link: https://www.econbiz.de/10003953027

CRIX or evaluating blockchain based currencies

Trimborn, Simon; Härdle, Wolfgang - 2016

The S&P500 or DAX30 are important benchmarks for the financial industry. The first mimics the performance of the major US on the NYSE, AMEX and NASDAQ, while the second does the same for the German Prime Share sector. These and other indices describe different compositions of certain segments of...

Persistent link: https://www.econbiz.de/10011481648

Simple nonparametric estimators for the bid-ask spread in the role model

Safronov, Mikhail; Linton, Oliver; Schneeberger, Stefan - 2016

Persistent link: https://www.econbiz.de/10011455993

Academic ranking scales in economics : prediction and imputation

Zharova, Alona; Mihoci, Andrija; Härdle, Wolfgang - 2016

Publications are a vital element of any scientist’s career. It is not only the number of media outlets but aslo the quality of published research that enters decisions on jobs, salary, tenure, etc. Academic ranking scales in economics and other disciplines are, therefore, widely used in...

Persistent link: https://www.econbiz.de/10011459002

Carry funding and safe haven currencies : a threshold regression approach

Hossfeld, Oliver; MacDonald, Ronald - 2014

In this paper, we analyze which currencies can be regarded as safe haven currencies. Our empirical approach allows us to distinguish between a low- and high stress regime, and to control for the impact of carry trade reversals and other fundamental determinants. We therefore address the question...

Persistent link: https://www.econbiz.de/10010433356

Intellectual property rights and foreign direct investment : the role of industry and host-country characteristics

Nunnenkamp, Peter; Spatz, Julius - 2003

Persistent link: https://www.econbiz.de/10001770416

Shooting the messenger of good news : a critical look at the World Bank's success story of effective aid

Nunnenkamp, Peter - 2002

In a report presented at the UN Conference on Financing for Development in March 2002, the World Bank claims that the … policies. However, the World Bank's success story rests on an extremely weak foundation: First, the institution's contribution … the distribution of World Bank financing. Second, the picture portrayed in the report takes a bad turn if only two …

Persistent link: https://www.econbiz.de/10001666887

Common factors in credit defaults swaps markets

Chen, Yi-Hsuan; Härdle, Wolfgang - 2012

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period....

Persistent link: https://www.econbiz.de/10009634306

Increasing weather risk : fact of fiction?

Wang, Weining; Bobojonov, Ihtiyor B.; Härdle, Wolfgang; … - 2011

It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...

Persistent link: https://www.econbiz.de/10009379509