Zehn Jahre sind vergangen seitdem die Agenda 2010 die institutionellen Gegebenheiten auf dem deutschen Arbeitsmarkt einschneidend verändert hat. Mit der Einführung der Mini- und Midijobs sowie der Zusammenlegung der Arbeitslosen- und Sozialhilfe zum Arbeitslosengeld II wurde ein...

We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observed security characteristics. We develop an estimation procedure that...

We introduce a kernel-based estimator of the density function and regression function for data that have been grouped into family totals. We allow for a common intra-family component but require that observations from different families be in dependent. We establish consistency and asymptotic...

In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the distribution theory needed to conduct inference,...

We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator, a marginal average estimator and a (marginal) propensity score weighted estimator are defined. All the estimators are proved to be asymptotically normal,...

We propose a modification of kernel time series regression estimators that improves efficiency when the innovation process is autocorrelated. The procedure is based on a pre-whitening transformation of the dependent variable that has to be estimated from the data. We establish the asymptotic...

Existing specification tests for conditional heteroskedasticity are derived under the assumption that the density of the innovation, or standardized error, is Gaussian, despite the fact that many recent empirical studies provide evidence that this density is not Gaussian. We obtain specification...

This paper develops a methodology for nonparametric estimation of a polarization measure due to Anderson Ge and Leo (2006) based on kernel estimation techniques. We give the asymptotic theory of our estimator, which in some cases is non standard due to boundary value problems. We also propose a...

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...