Similar Search Results

The effect of disability on labour market outcomes in Germany : evidence from matching

Lechner, Michael; Vazquez-Alvarez, Rosalia - 2003

If labour market policies aimed at people with disabilities are effective, we should observe no significant difference in labour market outcomes between disable and non-disable individuals. This paper examines the impact of disability status on labour market outcomes using matching methods...

Persistent link: https://www.econbiz.de/10010261660

Nonparametric estimation of risk-neutral densities

Grith, Maria; Härdle, Wolfgang Karl; Schienle, Melanie - 2010

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches … of the risk neutral density. The first estimator is a kernel smoother of the second derivative of call prices, while the … we assume the existence of a stochastic discount factor (pricing kernel) which establishes the risk neutral density …

Persistent link: https://www.econbiz.de/10010270813

Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance

Herwartz, Helmut; Golosnoy, Vasyl - 2007

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

Persistent link: https://www.econbiz.de/10010296287

Siblings and Educational Attainment in West Germany

Blaess, Virginie - 2005

Individual decisions on education are still an important topic in social sciences research. Our goal is an analysis of the impact of siblings on educational attainment in West Germany. Theories of educational decisions in a family context suggest several possible effects of siblings. During the...

Persistent link: https://www.econbiz.de/10010297262

Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach

Gaisser, Sandra; Memmel, Christoph; Schmidt, Rafael; … - 2009

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio … comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean … profit and loss data and Value-at-Risk estimates of the 11 banks, the paper specifically models and analyzes the portfolio …

Persistent link: https://www.econbiz.de/10010298783

Peaks or tails : what distinguishes financial data?

Krämer, Walter; Runde, Ralf - 1999

We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from ‘normal’ variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given data...

Persistent link: https://www.econbiz.de/10009793263