Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...

Option prices are a valuable source of information concerning risk assessments from investors about future financial payoffs. The information is summarized in the state price densities (SPD), the continuous counterpart (normalized by a constant) from Arrow-Debreu security prices. Under no...

Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of...

Die Gestaltung der Produktpalette war ein zentrale Herausforderung für ostdeutsche Unternehmen nach der Wende. Spezialisierung oder eine diffuse Generalistenstrategie war die Frage. Welche Strategie sich durchgesetzt hat und ob der Anschluss an den Westen gelang, wird in dieser Arbeit erstmals...

The purpose of this paper is to sort out firm-related differences from effects that result from different economic structures. A non-parametric decomposition is used to analyse firm level difference between the wage spread in the two major regions of unified Germany. If firm-specific effects...

The vast majority of regions in West Germany, and the EU, have become more similar in terms of per-capita income and productivity between 1980 and 2000. But a number of rich areas - generally large agglomerations - have succeeded in departing from this trend ofconvergence. They are continuing to...

Value-at-Risk (VaR) of a portfolio is determined by the multivariate distribution of the risk factors increments. This distribution can be modelled through copulae, where the copulae parameters are not necessarily constant over time. For an exchange rate portfolio, copulae with time varying...