SFB 649 Discussion Paper 2007-035 Estimating Probabilities of Default With Support Vector Machines Wolfgang Härdle* Rouslan Moro** Dorothea Schäfer*** * Humboldt-Universität zu Berlin, Germany ** Humboldt-Universität zu Berlin & DIW Berlin, Germany *** DIW...

We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...

Generalized single-index models are natural extensions of linear models and circumvent the so-called curse of dimensionality. They are becoming increasingly popular in many scientific fields including biostatistics, medicine, economics and finan- cial econometrics. Estimating and testing the...

This paper uses the Bayesian approach to solve and estimate a New Keynesian model augmented by a generalized Phillips curve, in which the shape of the price reset hazards can be identi…ed using aggregate data. My empirical result shows that a constant hazard function is easily rejected by the...

SFB 649 Discussion Paper 2006-050 Robust Econometrics Pavel Čížek* Wolfgang Härdle** * Department of Econometrics and Operations Research, Universiteit van Tilburg, The Netherlands ** Institute for Statistics and Econometrics and C.A.S.E. – Center for...

SFB 649 Discussion Paper 2006-067 Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break Carsten Trenkler* Pentti Saikkonen** Helmut Lütkepohl*** * Humboldt-Universität zu Berlin, Germany ** University of Helsinki, Finland ***...

SFB 649 Discussion Paper 2006-068 Integral Options in Models with Jumps Pavel V. Gapeev* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany and Russian Academy of Sciences, Institute of Control Sciences, Moscow, Russia This research...