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...

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form of the risk neutral density. The first estimator is a...

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...

Our survey covers the recent developments of the microeconometric literature on evaluation methods. In this field, the canonical model is Rubin's causal model, which is close to Roy's selectivity model. This model is the relevant framework for defining and for examining the identifiability...

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...

In light of nonstationary search theory (van den Berg, 1990), this paper estimates the effects of benefit entitlement periods and the size of unemployment benefits on unemployment durations and post-unemployment earnings in West Germany. For the unemployment duration, we estimate censored...

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...

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the...

The intraday high-frequency datasets contain several zero returns, which state that no change occurs in two or more consecutive transactions, particularly in the transaction data of in- active securities. In addition, existing approaches to cleaning financial data, such as the previous-tick...

The paper applies the gravity model of international trade in its analysis of German exports. The added value of our research is derived from the innovative shift in focus from the traditional gravity model specifications to the national level in order to interpret its estimations in a...