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The global dimension of inflation –evidence from factor-augmented Phillips curves

Eickmeier, Sandra; Moll, Katharina - Deutsche Bundesbank <Frankfurt, Main> / … - 2008

We examine the global dimension of inflation in 24 OECD countries between 1980 and 2007in a traditional Phillips curve … affect inflation through (the common part of) domestic demand and supplyconditions. Our most important result is that the … common component of changes in unit laborcosts notably affects inflation. We also find evidence that movements in import …

Persistent link: https://www.econbiz.de/10005866174

Labour force participation in the euro area: a cohort based analysis

Balleer, Almut; Gómez Salvador, Ramón; Turunen, Jarkko - European Central Bank - 2009

We use a cohort based model to analyse determinants of labour force participation fordisaggregated groups of workers in the euro area and the five largest euro areacountries. The model captures age and cohort effects as indicators of (unobserved)determinants of participation behaviour. We use...

Persistent link: https://www.econbiz.de/10005866625

Zum Einsatz „fundamentaler“ Faktorenmodelle im Portfoliomanagement

Hamerle, Alfred; Rösch, Daniel - Universität <Hannover> / Institut für Banken und … - 1998

In jüngerer Zeit sind im professionellen Portfoliomanagement zunehmend Faktorenmodelle in den Vordergrund bei der Investment-Analyse gerückt und haben klassische Modelle wie das CAPM mehr und mehr verdrängt. Charakte-ristisch für diese Modelle ist, daß lediglich ein...

Persistent link: https://www.econbiz.de/10005867484

Zur empirischen Identifikation von Risikofaktorenbei Modellen der Arbitrage Pricing Theory

Hamerle, Alfred; Rösch, Daniel - Universität <Regensburg> / Lehrstuhl für Statistik - 1998

Zusammenfassung. In jüngerer Zeit werden in zunehmendem Maße Ansätze der Arbitrage Pricing Theory im praktischen Portfoliomanagement eingesetzt. Eine wichtige Klasse stellen die „fundamentalen Faktoren-Modelle“ dar, bei denen unternehmensspezifische Variablen, wie z.B....

Persistent link: https://www.econbiz.de/10005867486

The Uniqueness of Extremum Estimation

Krätschmer, Volker - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

presented to ensure the uniqueness with probability one. As important applications, the maximum likelihood estimation in curved … exponential families and nonlinear regression models with independent disturbances as well as the maximum likelihood estimation of …

Persistent link: https://www.econbiz.de/10005861238

Sensitivities for Bermudan Options by Regression Methods

Belomestny, Denis; Milstein, Grigori; Schoenmakers, John - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

In this article we propose several pathwise and finite difference basedmethods for calculating sensitivities of Bermudan options using regressionmethods and Monte Carlo simulation. These methods rely on conditionalprobabilistic representations which allow, in combination with aregression...

Persistent link: https://www.econbiz.de/10005860987

Comparison of Panel Cointegration Tests

Örsal Karaman, Deniz Dilan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

maximum-likelihood-based panel cointegrationtests with the help of Monte Carlo simulations. In this study the panel-rho, the … group-rho, the panel-t, the group-t statistics of Pedroni (1999) and the standardized LR-barstatistic of Larsson et al …. (2001) are considered. The simulation results indicate thatthe panel-t and standardized LR-bar statistic have the best size …

Persistent link: https://www.econbiz.de/10005861016

Forward and reverse representations for Markov chains

Milstein, Grigori N.; Schoenmakers, John G. M.; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

In this paper we carry over the concept of reverse probabilistic representations developed in Milstein, Schoenmakers, Spokoiny (2004) for diffusion processes, to discrete time Markov chains. We outline the construction of reverse chains in several situations and apply this to processes which are...

Persistent link: https://www.econbiz.de/10005861319

Adaptive Simulation Algorithms for Pricing American and Bermudan Options by Local Analysis of Financial Market

Belomestny, Denis; Milstein, Grigori N. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to theEuropean ones with a consumption, combined with analysis of the market model over a small number of steps ahead. This approach allows...

Persistent link: https://www.econbiz.de/10005861418

Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions

Brüggemann, Ralf - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

This paper investigates the finite sample properties of confidence intervals for structural vector error correction models (SVECMs) with long-run identifying restrictions on the impulse response functions. The simulation study compares methods that are frequently used in applied SVECM studies...

Persistent link: https://www.econbiz.de/10005861837