Supported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized fact. Based on an economic model with state dependent preferences for the financial investors, we want to emphasize a microeconomic view that succeeds in explaining the puzzle. We...

With increasing wind power penetration more and more volatile and weather dependent energy is fed into the German electricity system. To manage the risk of windless days and transfer revenue risk from wind turbine owners to investors wind power derivatives were introduced. These insurance-like...

We propose a local adaptive multiplicative error model (MEM) accommodating time-varying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....

The management of universities demands data on teaching and research performance. While teaching parameters can be measured via student performance and teacher evaluation programs, the connection of research outputs and their grant antecedents is much harder to check, test and understand. This...

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...

In this paper, we present a case study, which describe the development of the Statistic e-learning-course in Arabic language -Arabic MM*STAT. The basic frame for this E-book, the system MM*STAT was developed at the School for Business and Economics of Humboldt-Universit¨at zu Berlin. Arabic...

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface (IVS) in a dynamic context, employing...

As a function of strike and time to maturity the implied volatilityestimation is a challenging task in nancial econometrics. DynamicSemiparametric Factor Models (DSFM) are a model class that allowsfor the estimation of the implied volatility surface (IVS) in a dynamiccontext, employing...